Do you really need one? At most, the library will just save you the bother of putting the SOCKET in a global variable. You could always write a class wrapper for it, which shouldn't take more than 15 minutes.
The constructor will do the socket call. The destructor will be the close. Then the rest are just member functions using the object handle instead of providing the socket to the call. Don't really see what you'd gain by putting them into a class.