Fix error codes reported by windows sockets. (#489)

Issue: Discovered when running tests in Debug on Windows. The error codes reported from socket functions were NOT what was expected. Investigation revealed that the value from `WSAGetLastError()` would get reset to 0 as a side-effect of logging. This was only happening in Debug, which is why we weren't catching it in CI.

Therefore: Always call  `WSAGetLastError()` **immediately** after a socket function fails, and store the value for use later.

Author: graebm