Probably not, but try this.
I don't know how well winsock would handle it, but you can ping your own network card (don't think it works with modems) on tcp/ip 127.0.0.1
This is used to make sure the card is actually functioning. I have no idea if you can send and receive over it.
Try feeding that in as the client address, hopefully it won't crash the network protocols.
Alternatively, get 2 Network cards and connect them via a hub / crossover cable. Bind TCP/IP to each and then assign different IPs through network neighborhod. This will actually work (probably) in Windows98, not sure about 95 and NT.
I am merely an egg.