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