Outside of opening a separate socket on each interface as Glomek suggested, the only way I know to do this definitively on Windows is to use a raw socket, e.g.,
SOCKET s = socket(AF_INET, SOCK_RAW, IPPROTO_IP);
Each receive from this socket will be an IP packet, which contains both the source and destination addresses. The program I work on requires me to put the socket in promiscuous mode using the SIO_RCVALL option. Doing this means I get every IP packet the interface "sees" on the network. To extract packets expressly for my application requires me to filter the data using the addresses and ports in the IP and TCP/UDP headers. Obviously, that's probably more overhead than you're interested in. I only mention it to say this - I've never used a raw socket without putting it in promiscuous mode. So I'm not sure if you can bind it to INADDR_ANY and just use it as a regular socket from that point forward or not. It would seem to me that you can; I've just never tried it.
EDIT: Read this article for limitations regarding raw sockets on Windows. This biggest hurdle I faced on my project was that one has to be a member of the Administrators group to open a raw socket on Windows 2000 and later.