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You can't write a good Winsock program without understanding the concept of a socket, which is used to send and receive packets of data across the network. To fully understand sockets, you need a thorough knowledge of the underlying Internet protocols. This section contains a concentrated dose of Internet theory. It should be enough to get you going, but you might want to refer to one of the TCP/IP textbooks if you want more solid theory or you can find the info at Linux Socket (C code), a complete story of the TCP/IP and OSI, down to the packet level, RAW socket with working program examples which available at Tenouk.com. The latest Windows socket implementation in the .NET (with C#, VB .NET and C++/CLI code samples) can be found in the Windows Networking using the .NET. The native Winsock implementation on Windows platforms can be found in the Win32 Winsock.
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