[NumLock]

в справке написано:

With a nonblocking socket, the connection attempt cannot be completed immediately. In this case, connect will return SOCKET_ERROR, and WSAGetLastError will return WSAEWOULDBLOCK. In this case, the application can:
1. Use select to determine the completion of the connection request by checking if the socket is writeable

примерно так:

Код:

var
  FDSetW: TFDSet;
  FDSetE: TFDSet;
  TimeVal: TTimeVal;
...
      FD_ZERO(FDSetW);
      FD_ZERO(FDSetE);
      FD_SET(FSocket, FDSetW);
      FD_SET(FSocket, FDSetE);
      TimeVal.tv_sec:=0;
      TimeVal.tv_usec:=100;
      select(0, nil, @FDSetW, @FDSetE, @TimeVal);
      if not FD_ISSET(FSocket, FDSetW) then
        raise Exception.Create('connect(): timeout');