Failed connection attempts will hang until timeout interval is reached on win32

Failed connection errors are not detected in the select() call. This is because the select call does not add the socket to the exception fdset.

MSDN documentation states that failed connections are delivered through exceptfds, and that only successful connections are delivered as writability notifications. See http://msdn.microsoft.com/en-us/library/windows/desktop/ms740141(v=vs.85).aspx