See Non-blocking socket read on Windows for a discussion and a bundle of related nodes. I believe that the Danga::Socket framework also knows how to do nonblocking sockets nowadays but I can't find the relevant change. I think the solution (if there is any) to enable nonblocking sockets on Win32 is some ioctl call that's different from the unixish ioctl() call.

Update: Ah hah - MeowChow has a solution in Re: (to be updated) (tye)Re: Non blocking socket open.