alright, so heres how it works:
first, you need to pass spec into the right place, heres the output of the make file.
winegcc -c -mno-cygwin -m32 -o zmq.o zmq.c winegcc -shared zmq.dll.spec -mno-cygwin -o zmq.dll.so zmq.o -lzmq
next, you need to make sure to include <windows.h> in zmq.c and put WINAPI between return type and function name if you are using stdcall in the spec file, otherwise it wont work.
Finally, heres a nice reference example http://www.winehq.org/pipermail/wine-devel/2010-June/084336.html
and in terms of finding what symbols are exported well those in the spec file are exported, so no big deal.