This problem is caused when including <windows.h> before <winsock2.h>. Try arrange your include list that <windows.h> is included after <winsock2.h> or define _WINSOCKAPI_ first:
#define _WINSOCKAPI_ // stops windows.h including winsock.h
#include <windows.h>
// ...
#include "MyClass.h" // Which includes <winsock2.h>
See also this.