This looks like a bug to me:

>>> import socket, httplib
>>> socket.setdefaulttimeout(10)
>>> httplib.HTTPConnection("www.python.org",
9999).connect()
[.... 10 second delay ....]
Traceback (most recent call last):
  File "<stdin>", line 1, in ?
  File "e:\src\python-cvs\lib\httplib.py", line 548, in
connect
    raise socket.error, msg
socket.timeout: timed out
>>>

On Linux, there is no significant delay, and the
traceback reads:
Traceback (most recent call last):
  File "<stdin>", line 1, in ?
  File "/usr/local/lib/python2.3/httplib.py", line 548,
in connect
    raise socket.error, msg
socket.error: (111, 'Connection refused')

The linux result is what I expected on Windows. 
Sockets aren't my strong point, so I'd prefer someone
confirming it is a real bug before I burn too much time
on it.