Download the ZODB tarball containing all the packages for both ZODB and ZEO from http://www.amk.ca/files/zodb/.
To build the packages, you must go into the individual directories and build and install them one by one. They should be built and installed in this order:
zodb-basic
BTree
and BTrees
In particular, you must install ExtensionClass before building the ZODB package; otherwise, the compilation in the ZODB package will die complaining that it can't find ExtensionClass.h. You can manually hack the #include path to make it work without installing ExtensionClass first, but that's a bit hackish.
If you encounter any problems, please let me know at akuchlin@mems-exchange.org.