Super search indicates you are not alone with this problem:

• IO::Socket::INET -- jettero verses non-blocking in windows
• (tye)Re: Non blocking socket open
• Win32 Nonblocking Sockets
• activestate bug 565 (see Gurusamy Sarathy reply)
• Perl bug #11938
• Microsoft Support article: Socket overlapped I/O versus blocking/nonblocking mode

There were quite a few other hits, but these seemed the most useful. Updated: added two more links.