Win32 doesn't have TCP_KEEPIDLE/TCP_KEEPINTVL but rather uses the custom SIO_KEEPALIVE_VALS WSAIoctl (see http://msdn.microsoft.com/en-us/library/windows/desktop/dd877220%28v=vs.85%29.aspx).
Here is a patch for CURLOPT_TCP_KEEPIDLE and CURLOPT_TCP_KEEPINTVL on Win32 platforms.
Unfortunately, w32api (MinGW) doesn't currently define SIO_KEEPALIVE_VALS in ws2tcpip.h, so I included the necessary definitions.
Thanks, applied and merged in commit c4d7c1514f. Issue closed!