libcurl now reports failed connections on Windows as:
* Connect failed; No error

"No error" comes from the sclose() call since errno's on
Windows doesn't work as on Unix (where errno is only set
on failure).

AFAICS, since connect() is non-blocking, the error must be
obtained from getsockopt(..SO_ERROR), but verifyconnect()
doesn't do this on Windows. Not sure why that is ifdef'ed out,
but that function works fine here.

Attached is a little patch that gives correct error response.
Also a minor detail for ldap.[ch]; no Curl_ldap_done().

--gv