The X-ray source 1E 1024.0-5732, serendipitously discovered with the Einstein Observatory, was previously interpreted as a rapidly spinning neutron star, accreting matter from its massive early-type companion, the emission-line star Th35-42. However, new ROSAT data do not support the presence of a neutron star in this source. A more likely scenario, also indicated by recent optical spectroscopy, involves X-ray emission from the colliding winds of a WR+O binary. Surprisingly, this star remained unnoticed during an extensive optical search for new Wolf-Rayet stars, carried out in this region of sky. Stimulated by the discovery of this first X-ray selected WR star, we have undertaken a search for similar objects in the data from the ROSAT All Sky Survey.