[Windows] use WSAGetLastError() in Win32 build

[mchome]

Use WSAGetLastError instead of using perror.

• Linux build

  
  #include <stdio.h>
  #include <stdlib.h>

void DieWithError(char *errorMessage) { perror(errorMessage); exit(1); }

- Win32 build
```c
#include <winsock.h>
#include <stdlib.h>

void DieWithError(char *errorMessage) {
    fprintf(stderr,"%s: %d\n",
        errorMessage, WSAGetLastError());
    exit(1);
}