It took me a day to figured out windows 7 does not support memcached 32 bit application. I have added ports to firewall, compatibiltiy and searched on Google but got no results. Then i started out looking for 64 bit version of memcached and found urielkatz blog. Uriel has recompiled the source code for 64 bit windows. Thanks to uriel he really saved my day!
You can download memcached from this link.