Visual Basic.Net doesn't use the Winsock Components. Instead, the .NET Framework provides a huge amount of networking capabilities which are far easier to use.
Most of the Winsock Component is directly replaceable with types from the System.Net Namespace: http://msdn.microsoft.com/en-us/library/system.net.aspx
That being said, there are some great high-level classes you can use, such as WebClient or FtpWebRequest, etc, which make common tasks far simpler.
Reed Copsey, Jr. - http://reedcopsey.com
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