The macros ZLIB and ZLIB_SHARED weren't appropriately defined,
deviating wrongly from how they worked in earlier OpenSSL versions.
So, restore it so that ZLIB is defined if configured "enable-zlib" and
so that ZLIB and ZLIB_SHARED are defined if configured
"enable-zlib-dynamic".

Additionally, correct the interpretation of the --with-zlib-lib value
on Windows and VMS, where it's used to indicate the actual zlib
zlib library file / logical name, as that can differ depending on zlib
version and packaging on those platforms.

Finally for Windows and VMS, we also define the macro LIBZ with that
file name / logical name when configured "zlib-dynamic", so the
compression unit can pick it up and use it.
Reviewed-by: NMatt Caswell <matt@openssl.org>