Setting up the development environment is fairly straightforward under Windows 8.
We will not cover the installation of each component as I did not find anything special worth mentioning.
So here is my shopping list:
IDEs
For Python, I am using the Python(x,y) distribution which includes Numpy, Scipy, Matplotlib, Qt amongst others, under the Spyder GUI which I find more lightweight than Eclipse.
For C#, Microsoft Visual Sudio 2012 Express for Windows Desktop (or higher) is more than enough if you do not own a full license.
Libraries
Protocol Buffers
For Python, simply run
pip install protobuf
For C# download protobuf-net
ZeroMQ
Install the ZeroMQ binaries: this will provide libzmq.dll which will need to be in the path when running ZeroMQ from Python or C#.
Then for Python, run
pip install pyzmq
Finally, for C#, just download clrzmq.