Kaluza-Klein Dyons in String Theory

$S$ duality of heterotic or type II string theory compactified on a six dimensional torus requires the existence of Kaluza-Klein dyons, carrying winding charge. We identify the zero modes of the Kaluza-Klein monopole solution which are responsible for these dyonic excitations, and show that we get the correct degeneracy of dyons as predicted by $S$ duality. The self-dual harmonic two form on the Euclidean Taub-NUT space plays a crucial role in this construction.