On linux, it\'s possible to create a tun interface using a tun driver which provides a \"network interface psuedo-device\" that can be treated as a regular network interface
You can do this on XP with the Microsoft Loopback Adapter which is a driver for a virtual network card.
On newer Windows version: Installing the Microsoft Loopback Adapter in Windows 8 and Windows Server 2012
In the Singularity project, Microsoft research communicates with the singularity VM through a "loopback" adapter. Maybe that'd help?
Running it is easy so it may be something fun to do anyway. :)
http://research.microsoft.com/os/Singularity/
@Tim
Depending on the licensing you might be able to use the TUN/TAP driver that is part of OpenVPN, see here for details.