MSWinsock.Winsock event handling in VisualBasic
Are you stuck using MSWinsock?
Here is a site/tutorial using a custom winsock object.
Also... You need to declare Winsock1 WithEvents within a "Class" module:
Private WithEvents Winsock1 As Winsock
And finally, make sure you reference the winsock ocx control.
Tools -> References -> Browse -> %SYSEM%\MSWINSCK.OCX