Can i somehow pass socket from winsock2.h to unique_ptr and make custom deleter for him?

Yes, it is possible, eg:

struct SocketDeleter
{
    using pointer = SOCKET;
    // or, if nenecessary:
    // typedef SOCKET pointer;

    void operator()(SOCKET sckt) const {
        if (sckt != INVALID_SOCKET)
            closesocket(sckt);
    }
};

std::unique_ptr<SOCKET, SocketDeleter> up(socket(...));

However, SOCKET is not a pointer type (it is a UINT), and std::unique_ptr is not really intended to be used with non-pointer types.

You could do something like this instead:

struct SocketDeleter
{
    void operator()(SOCKET* sckt) const {
        if (*sckt != INVALID_SOCKET)
            closesocket(sckt);
        delete sckt;
    }
};

std::unique_ptr<SOCKET, SocketDeleter> up(new SOCKET(socket(...)), SocketDeleter{});

But that just gets ugly.

See smart pointer to manage socket file descriptor for alternative ways to design an RAII-style wrapper for a socket descriptor without using std::unique_ptr.