Well, sockets cannot be pickled on any platform:

>>> sock = socket.create_connection(("www.python.org", 80))
__main__:1: ResourceWarning: unclosed <socket.socket object, fd=3, family=2, type=1, proto=0>
>>> s = pickle.loads(pickle.dumps(sock))
>>> s.getpeername()
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
socket.error: getsockaddrlen: bad family
>>> s.fileno()
-1

The reason your code works under Linux is that multiprocessing uses fork() and therefore all objects and file handles are transparently inherited by the child. Windows doesn't have fork(), it instead spawns a new process to which it must marshal objects using pickle. You'll have to create your socket in the child for it to work at all.

By the way, multi-threading is much more appropriate than multi-processing when writing servers under Windows. Also, see the socketserver module for helpers to write both multi-threaded and multi-processed servers: http://docs.python.org/library/socketserver.html