Partially tested. Specifically, I've tested the following:

• If it's the first time you can write to a socket, then it has just been connected.
• A socket will be flagged as readable when it gets disconnected. eof will return true on this socket.

You should find the following code very flexible. Think of Client as a state machine.

use IO::Select       ();
use IO::Socket::INET ();
use Time::HiRes      qw( time );  # Optional.

{
   package Client;

   use constant ST_CONNECTING => 0;
   use constant ST_SOMETHING1 => 1;
   use constant ST_SOMETHING2 => 2;
   use constant ST_SOMETHING3 => 3;
   # ...

   sub new {
      my ($class) = @_;
      my $self = bless({
         sock      => $sock,
         timeout   => time() + 30,
         wannna_d  => 0,  # True if we want to disconnect the socket.
         wannna_w  => 1,  # True if we want to write to the socket.
         state     => ST_CONNECTING,
         # ...
      });
   }

   sub connected {
      my ($self) = @_;
      $self->{state  } = ST_SOMETHING1;
      $self->{wanna_w} = 0;
      # ...
   }

   sub disconnected {
      my ($self) = @_;
      # ...
   }

   sub timed_out {
      my ($self) = @_;
      # ...
   }

   sub data_available {
      my ($self) = @_;
      $self->reset_timeout();
      # ...
   }

   sub ready_to_write {
      my ($self) = @_;
      $self->reset_timeout();

      my $state = $self->{state};

      if ($state == ST_CONNECTING) {
         $self->connected();
         return;
      }

      # ...
   }

   sub reset_timeout {
      my ($self) = @_;
      $self->{timeout} = $time + 30;
   }
}

{
   my %clients;

   {
      my $sock = IO::Socket::INET->new(
         Proto    => 'tcp',
         PeerAddr => '...',
         Blocking => 0,  # How well does this work in Windows?
      );

      $clients{$sock} = Client->new($sock);
   }

   for (;;) {
      my $time = time;
      my $min_timeout = 3600;  # Just so it isn't undef.

      my $r_sel = IO::Select->new();
      my $w_sel = IO::Select->new();

      foreach my $client (values %clients) {
         my $sock    = $client->{sock};
         my $wanna_d = $client->{wanna_d};
         my $wanna_w = $client->{wanna_w};
         my $timeout = $client->{timeout} - $time;

         if ($wanna_d) {
            delete($clients{$sock});
            next;
         }

         if ($timeout <= 0) {
            delete($clients{$sock});
            $client->timed_out();
            next;
         }

         $min_timeout = $timeout if $min_timeout > $timeout;

         $r_sel->add($sock);
         $w_sel->add($sock) if $wanna_w;
      }

      # In case a "$client->timed_out();" takes a long time.
      $timeout -= time() - $time;
      $timeout = 0.001 if $timeout < 0;

      last if not %clients;

      my ($r, $w) =
         IO::Select->select($r_sel, $w_sel, undef, $timeout);

      foreach my $sock (@$r) {
         my $client = $clients{$sock};
         next if not $client;  # Just in case.

         if (eof($sock)) {
            delete($clients{$sock});
            $client->disconnected();
         } else {
            $client->data_available();
         }
      }

      foreach my $sock (@$w) {
         my $client = $clients{$sock};
         next if not $client;
         $client->ready_to_write();
      }
   }
}
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