This is just to ensure I logged this for future reference.
Recently, one of my college has a problem with nmap. Whenever she runs it, she gets the "failed to open device eth0" error. I had tried to execute nmap in administrator mode and removed all other devices (wireless etc) but the problem persist.
In the end, I figured that this is probably related to Winpcap. What you actually need to do is to get the latest Winpcap from http://www.winpcap.org to install and overwrite the existing one. Of course, this should follow by a reboot and the problem should be solved.
The current version of Winpcap which managed to solve this issue today is v4.1.1.