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Why don't you develop two (simple) applications: one that uses WSAWaitForMultipleEvents and the other that uses select(). Compare their performance to each other. Of course, you need to ensure that your Windows system is behaving optimally during both runs, and that nothing else is hogging resources while you perform the tests.
Alternatively, you could just go with the POSIX standard function... that is, select()... and move on to better things.
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