The following C# code works correctly on Vista, but fails on XP with:
SocketException: An invalid argument was supplied.
The ErrorCode is 10022.
The firewall on XP has been disabled.
using System;
using System.Net;
using System.Net.Sockets;
public class SocketTest
{
    [STAThread]
    public static void Main()
    {
        MySocket s = new MySocket();
        Console.WriteLine("done");
        Console.ReadLine();
    }
    public class MySocket : Socket
    {
        public const ushort SocketTtl = 4;
        public const string Address = "239.255.255.250";
        public IPAddress IPAddress = IPAddress.Parse(Address);
        public MySocket()
            : base(AddressFamily.InterNetwork, SocketType.Dgram, ProtocolType.Udp)
        {
            SetSocketOption(SocketOptionLevel.Socket, SocketOptionName.Broadcast, true);
            SetSocketOption(SocketOptionLevel.IP, SocketOptionName.MulticastTimeToLive, SocketTtl);
            // This line throws SocketException: An invalid argument was supplied
            // SocketException.ErrorCode: 10022
            SetSocketOption(SocketOptionLevel.IP, SocketOptionName.AddMembership, new MulticastOption(IPAddress));
        }
    }
}
Any ideas?
You need to bind the socket to an interface before setting the SocketOptionName.AddMembership option.
Edit: Just verified this in the MSDN docs (though it says only up to NT4):
Windows 98, Windows NT 4.0 Platform Note: You must call the Bind method before using AddMembership as the optionName parameter.
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