I don't have my setup here, but I believe that zlib1.dll would normally be installed into the Pan directory. Is it present?
Either way, it is worth searching the entire C: drive to see if you have any other zlib*.dll files present. If there is a different version and it comes earlier in the search path than the Pan one, that may cause issues.
I'll endeavour to take a look at this at home tonight. If this problem persists, I might be able to do a Pan build with zlib statically linked in.
Regards,
Steve