Native DLL saying FileNotFoundException

I'm trying to use the C# library clrzmq which is a library for ZeroMQ messaging. There's a .NET specific one but I'm unable to get it to work in Unity 2017.

My script for clrzmq works fine in standalone Visual Studio 2017. I put it into Unity and once I run it I get

 FileNotFoundException: UnmanagedLibrary[libzmq] Unable to load binary "libzmq" from folders
     C:\Program Files\Unity\Editor\amd64\libzmq.dll
     C:\Program Files\Unity\Editor\x64\libzmq.dll
     C:\Unity Projects\unity\Assets\ZeroMQ\amd64\libzmq.dll
     C:\Unity Projects\unity\Assets\ZeroMQ\x64\libzmq.dll

I've tried copying the file to a number of those other folders. Same error. I put it under Assets, Assets/Plugins and even the Unity editor folder. No dice on any of them.

Ideas?