Here is my effort, using the SIMD registers.
But first the algorithim is rearranged, for more direct translation:
	do 
           zxx=zx*zx
           zyy=zy*zy
           if zxx+zyy>=4.0 then exit do
           zy = 2 * zx * zy + cy
           zx = zxx - zyy + cx
           if --it<1 then exit do
	end do      
Then, step by step, the lines are transformed into SIMD instructions.
(if yout PC is an old banger (pre-2005), it may not have the SSE3  instruction set containing HADDPS and HSUBPS )
include "sw.inc"
include "gl.inc"
'! glFlush Lib "opengl32.dll" ()
hwnd = Window 800,600,1
Init2D (hwnd)
single x, y, zz[16] 
sys im=570, z=150, it, stop
h = GetHeight
w = GetWidth
float iz=1/z
float xx,yy
indexbase 0
zz[4]=4.0
For y=0 to <h
    For x=0 to <w
        zz[8]= (x-400)*iz	
        zz[9]= (y-300)*iz
        movups xmm3,zz[4]   '4.0
        movups xmm4,zz[8]   'cx,cy
        xorps    xmm0,xmm0  'zero zx,zy
        mov ecx ,im         'down counter
        def swap 0b11100001 'shuffle-order to swap lower 2 elements
	(
           movups   xmm1,xmm0
           mulps    xmm1,xmm1      'squares
           movups   xmm2,xmm1      '
           haddps   xmm2,xmm2      'squares sum
           comiss   xmm2,xmm3      'compare with 4.0
           jae exit                'exit if value >= 4.0
           movups   xmm2,xmm1      '
           hsubps   xmm2,xmm2      'squares difference
           addss    xmm2,xmm4      'singular add cx for new zx
                                   '
           movups   xmm1,xmm0      'to compute new zy
           shufps   xmm1,xmm1,swap 'swap zx,zy position
           addss    xmm1,xmm1      'singular 2*zy 'zy+zy
           mulss    xmm1,xmm0      'singular *zx
           movups   xmm5,xmm4      '
           shufps   xmm5,xmm5,swap 'swap cx,cy position
           addss    xmm1,xmm5      'singular add cy
           unpcklps xmm2,xmm1      'pair new zx,zy (by interleaving)
           movups   xmm0,xmm2      'transfer new zx,zy
           dec ecx
           jg repeat
	)
        mov it,ecx 'iter count      
	DrawPixel x,y, 1, it*12,it*8,it*4,255
    Next
Next
SwapBuffer
While KeyDown(27)=0
  DoEvents
  Flush
Wend
Quit2D
CloseWindow