Zlib linkable files should be in your 'dependencies' folder.
I'm using cmake 3.11.2 and it can find them.
If you don't have one, you'll need to verify that you grabbed the correct version for the type of build you're after (x86 or x64.)
I know the x86 works..haven't tried the x64 build myself.
In phantomghost's example..you will need to unpack them here:
Code:
C:\PEQ\Source\Server\dependencies