WSAGetLastError returns WSAENOTSOCK - Cause?

class Winsock
{
public:
    Winsock();

    void Initialize(HWND);

    void ReceiveMsg();

private:
    SOCKET m_Socket;
    ...
};

Winsock::Winsock()
    : m_Socket(INVALID_SOCKET)
{
}

void Winsock::Initialize(HWND hwnd)
{
    SendMessage(hwnd, LOG_ADD, 0, (LPARAM)L"Initializing winsock... ");

    WSADATA wsaDat = {0};
    if (WSAStartup(MAKEWORD(2,2), &wsaDat) != 0)
    {
        SendMessage(hwnd, LOG_ADD, 0, (LPARAM)L"Winsock initialization failed");
        return;
    }

    SendMessage(hwnd, LOG_ADD, 0, (LPARAM)L"Done!\nCreating a socket... ");

    m_Socket = socket(AF_INET, SOCK_STREAM, IPPROTO_TCP);
    if (m_Socket == INVALID_SOCKET)
    {
        SendMessage(hwnd, LOG_ADD, 0, (LPARAM)L"Socket Creation failed");
        return;
    }

    SendMessage(hwnd, LOG_ADD, 0, (LPARAM)L"Done!\nRequesting Windows message-based notification of network events... ");

    if (WSAAsyncSelect(m_Socket, hwnd, WM_SOCKET, FD_CLOSE|FD_READ) != 0)
    {
        SendMessage(hwnd, LOG_ADD, 0, (LPARAM)L"WSAAsyncSelect failed");
        return;
    }

    /* More code */
}

int WINAPI WinMain(HINSTANCE hInst, HINSTANCE hPrevInst, LPSTR lpCmdLine, int nShowCmd)
{
    if(SUCCEEDED(CoInitialize(NULL)))
    {
        Game game;
        game.CreateResources(hInst);
        game.ShowMainScreen();
        ...
    }
}

void Game::CreateResources(HINSTANCE hInst)
{   
    m_hWnd = CreateWindowClass(hInst);
    pMessageLog = CreateMessageLog();
    pD2DResources = CreateD2DResources(m_hWnd);
    pWinsock = CreateWinsock();
    pWinsock->Initialize(m_hWnd);
}