[3/4] ws2_32/tests: Improve setup_connector_socket to allow non-blocking connect calls

[Marvin]

Hi,

While running your changed tests on Windows, I think I found new failures.
Being a bot and all I'm not very good at pattern recognition, so I might be
wrong, but could you please double-check?
Full results can be found at
https://testbot.winehq.org/JobDetails.pl?Key=11964

Your paranoid android.


=== w2008s64 (32 bit sock) ===
sock: unhandled exception c0000005 at 00000000

=== w2008s64 (64 bit sock) ===
sock: unhandled exception c0000005 at 0000000000000000