Since you've labeled the question C++, you might be interested in using boost::asio, ACE, or some other cross-platform socket library for C++ or for C. Some other cross-platform libraries may be found in the answers to C++ sockets library for cross-platform and Cross platform Networking API.
Assuming that using a third party cross-platform sockets library is not an option for you...
The header <sys/socket.h> is defined in IEEE Std. 1003.1 (POSIX), but sadly Windows is non-compliant with the POSIX standard. The MinGW compiler is a port of GCC for compiling Windows applications, and therefore does not include these POSIX system headers. If you install GCC using Cygwin, then it will include these system headers to emulate a POSIX environment on Windows. Be aware, however, that if you use Cygwin for sockets that a.) you will need to put the cygwin DLL in a place where your application can read it and b.) Cygwin headers and Windows headers don't interact very well (so if you plan on including windows.h, then you probably don't want to be including sys/socket.h).
My personal recommendation would be to download a copy of VirtualBox, download a copy of Ubuntu, install Ubuntu into VirtualBox, and then do your coding and testing on Ubuntu. Alternatively, I am told that Microsoft sells a "UNIX subsystem" and that it is pre-installed on certain higher-end editions of Windows, although I have no idea how compliant this system is (and, if it is compliant, with which edition of the UNIX standard it is compliant). Winsockets are also an option, although they can behave in subtly different ways than their POSIX counterparts, even though the signatures may be similar.