On windows, select.select raises select.error(2, 'No 
such file or directory) if called with 3 empty lists.
This is not caught in asyncore's loop.

The attached patch fixes this by simply ignoring the 
exception (2 is ENOENT) in the same way as is done 
for EINTR already.

It may be argued that it would be better to catch this 
exception in the select implementation on Windows 
itself...

IMO this is also a bugfix candidate for 2.2 and 2.1.