SOCKET sock = socket(AF_INET, SOCK_STREAM, IPPROTO_TCP);
sockaddr_in socket_address;
//snip - initialize the socket_address' members - snip//
int status = 1;
ioctlsocket(sock, FIONBIO, &status);  //set the socket in non-blocking mode
while (1)
{
   int ret = connect(sock, (sockaddr*)(&socket_address), sizeof(socket_address));
   if (ret == -1)
   {
       cout << "Connection error : " << WSAGetLastError() << endl;
       Sleep(50);  //wait a bit to not hang the CPU
   }
   else
   {
       cout << "Connection succeeded" << endl;
       break;
   }
}