Drop bundled zlib

We're not doing a sufficient job of keeping this updated so list
it as an external requirement instead.
diff --git a/BUILDING.txt b/BUILDING.txt
index 67a4f08..9987bd7 100644
--- a/BUILDING.txt
+++ b/BUILDING.txt
@@ -9,6 +9,8 @@
 
 -- CMake (http://www.cmake.org) v2.8 or later
 
+-- zlib
+
 -- FLTK 1.3.3 or later
 
 -- If building TLS support: