If you mean setting `O_NONBLOCK` on `server`, that would cause `accept` to return `EWOULDBLOCK` or `EAGAIN`.
No, I mean you can set O_NONBLOCK on "client", i.e. the socket that calls connect().
By "clean up", do you mean only calling `WaitForSingleObject` on it, or is there more that I would need to do?
Wait for it and close the handle. It should be unnecessary if you just use nonblocking i/o with the socket, though.