When I install the NKLS server and try to launch it, I get the error message about Windows socket.

Such error message is in fact returned from the Windows API, TCP stack. A duplication of TCP ports being used is the only problem we have seen so far.
Please try to change different port numbers, e.g. higher than 10000 and see if it works. Please see the Help for details about the NetKey Server configuration file.
Also, please ensure that you don't try to start a second instance of the NetKey Server. Without editing the port number properly, you would see such error as well. Or, you can start Task Manager first, check and ensure that there is no NKLS40EK.exe process before starting the NetKey Server.