But what exactly isn't working? As Piru said, it's magic--WinUAE emulates an in-memory bsdsocket.library. Any software that loads bsdoscket.library will find it. This is the way it works on a real Amiga as well (after installing a stack, of course, which adds an in-memory bsdsocket.library just like WinUAE does). There is no bsdsocket.library file. It doesn't exist.
So, enable bsdsocket.library emulation, start WinUAE, [install an OS, etc.], and launch AWeb or IBrowse or ping or telnet or whatever it is you want to use. You do have to install those programs, of course.
EDIT:
I'll also add that uaenet.device isn't necessarily buggy (in the latest WinUAE beta), but it is quirky. It rides on WinPCAP, and all of WinPCAP's peculiarities carry over into uaenet.device. That could change, depending on Toni's priorities, but it looks like Picasso96 optimization is up front at the moment. In the meantime, uaenet.device is Very Cool--and my favorite WinUAE feature, since it works (in theory) with all versions of Kickstart and Workbench.