This is a truely odd one. The system call to create a socket has failed. This means your windows setup could be very odd indeed - I doubt very much that its the eggy that is at fault. You have got the right build I presume...
You havent got some kind of firewall blocking all outgoing ports or something have you? I doubt this would affect it, but I dont know.
Looking at the docs, The reasons for being unable to create a socket could be :
Out of Memory, Out of sockets (unlikely, unless you are running a LOT of net apps), WSA system already blocked, or No network subsytem (in the last two cases I doubt anything internet based would work on that machine).
Sorry I cant be of more help, but theres not really much else I can say...