mingw_setsockopt() should set errno #2404
Description
On Windows, setsockopt() is mapped to mingw_setsockopt() which calls
the WinSock/WSA version of setsockopt(). This routine is documented as
setting an internal error code that is available via WSAGetLastError().
Core Git callers of setsockopt() (connect.c, daemon.c, http.c) assume that
when -1 is returned, that errno contains the reason. But on Windows, this
is not true. This results in a random error message being printed.
Observed in 2.24.0.