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I tested it on a Windows XP box, and encountered the same problem.
The error is raised because Windows XP requires the socket to be bound before calling setsockopt(IPPROTO_IP, IP_ADD_MEMBERSHIP, mreq).
So calling bind() before setsockopt() solves this error.
But then you also need to specify for the sender the interface to use using setsockopt(IPPROTO_IP, IP_MULTICAST_IF, address)
Here's a working example:
---- sender ----
from socket import *
s = socket(AF_INET, SOCK_DGRAM)
s.setsockopt(IPPROTO_IP, IP_MULTICAST_IF, inet_aton('127.0.0.1'))
s.sendto(b'foo', ('224.0.0.1', 4242))
----------------
--- receiver ---
from socket import *
s = socket(AF_INET, SOCK_DGRAM)
s.bind(('127.0.0.1', 4242))
mreq = inet_aton('224.0.0.1') + inet_aton('127.0.0.1')
s.setsockopt(IPPROTO_IP, IP_ADD_MEMBERSHIP, mreq)
s.recv(100)
----------------
So it's not a Python bug.
Since multicast is tricky, it might be a good idea to add a short example somewhere in the documentation though.