Note that this function is similar to `SETUP_OPENSSL`, but since the
zlib headers are not necessarily required, we append `_LIB`.
We are also more liberal regarding zlib(_a).lib, because
extensions requiring zlib are looking only for zlib.lib if ext/zlib has
been built as shared extension. This is overly restrictive at best,
and actually makes no sense, since (a) we're not shipping shared zlib
builds for years, and (b) users could have a zlib.lib which is a static
build (they could even just rename zlib_a.lib to zlib.lib).
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