Don't use the Winsock control. The best way is to write your own
class using the System.Sockets class (look in your MSDN for more).
You can probably get tons of premade classes for winsock, too, on
places such as PlanetSourceCode. I personally don't like
PlanetSourceCode, but a class you'll get there is probably better that
using the Winsock control. If you can avoid it, try not using any ActiveX
controls at all (unless there are no good alternatives, such as is the
case with the CodeSense control).
[edit]I realize this may not be an option currently, and sorry if that
is the case, I will be of no help, but in the future try not to use the
Winsock control[/edit]