I just have found out, what the problem is!
zlib is missing. I remind that in fact, I just downloaded the zlib-123-dll, which is already compiled. I was wondering there is no configure file in the zlib folder. How ever, in the HowTo compile on Win32 in wiki (i think german version only) there is one thing missing. There are two links to the zlib home page. One to the homepage and the other to the download of the compiled zlib. Well, in fact, you rather get both files. So there should be two download links, so people could access those files faster.
Maybe I will modify that by myself....
Regards
za0