Longstanding bug on windows for when network goes down; it's my secret way to get people to move to linux.

Obviously not the case, but anyway I've not been able to reproduce it myself so must be some combination of windows or other issue. You could always try helping debug it following instructions in here:
http://ck.kolivas.org/apps/cgminer/debug/

I suspect it's just the libcurl implementation on windows... which would be bad news since it won't be something I can personally fix.