Update README to include zlib dependency

[mingzym]

we need to update README to include zlib dependency. just find out that on a fresh installed Ubuntu.

[maskit]

Yes, and I think we should check the availability on configure script. #5837

[alokrahul513]

Hi, I want to work on this issue. How to get started?

[mingzym]

@danwt make a good start there, I think we can find out what is the package needed on all other OS too, sometimes there may be different in naming the dev-libs. include all that will make a good commit.
thanks