Tras leer un poco de Python, decidí que lo mejor era pulir mis capacidades con VB antes de saltar a otro lenguaje.
Pues bien, me tope con la desagradable sorpresa de que la copia (ilegal) que consegui no contenía los controles active X de Winsock.
Ahora, mi duda es ¿debería conseguir una copia mejor o existe algún sitio donde descargar los controles (aptos para el desarrollo, claro)?
Gracias.

Tambien podes usar la Api de Winsock directamente, que no necesita el OCX...
Aqui Va...

Declare Function Socket Lib "wsock32.dll" Alias "socket" (ByVal afinet As Integer, ByVal socktype As Integer)
 
Declare Function connect Lib "wsock32" (ByVal sock As Long, name As SOCK_ADDR, ByVal namelen As Integer) As Long
 
Declare Function bind Lib "wsock32" (ByVal sock As Long, addr As SOCK_ADDR, ByVal namelen As Long) As Long
 
Declare Function listen Lib "wsock32.dll" (ByVal sock As Long, ByVal backlog As Integer) As Integer
 
Declare Function send Lib "wsock32" (ByVal sock As Long, buffer As Any, ByVal length As Long, ByVal flags As Long) As Long
 
Declare Function recv Lib "wsock32" (ByVal sock As Long, buffer As Any, ByVal length As Long, ByVal flags As Long) As Long
 
Type IN_ADDR
    S_addr As Long
End Type
 
Type SOCK_ADDR
    sin_family As Integer
    sin_port As Integer
    sin_addr As IN_ADDR
    sin_zero(0 To 7) As Byte
End Type
 
Public Const PF_INET = 2
Public Const SOCK_STREAM = 1
Public Const SOCK_DGRAM = 2
Public Const IPPROTO_IP = 0
Public Const IPPROTO_TCP = 6
Public Const IPPROTO_UDP = 17
Public Const INVALID_SOCKET = -1
Public Const SOCKET_ERROR = -1
Public Const INADDR_ANY = &H0
Public Const SOCKET_ERROR = -1
Public Const MSG_OOB = &H1
Public Const MSG_DONTROUTE = &H4
Public Const MSG_OOB = &H1
Public Const MSG_PEEK = &H2
 
 
'connect permet de se connecter sur un server distant
 
Dim CR As Long
Dim sock As Long
Dim RemoteServer As SOCK_ADDR
 
RemoteServer.sin_family = AF_INET
RemoteServer.sin_port = htons(2000)
RemoteServer.sin_addr.S_addr = inet_addr("XXX.XXX.XXX.XXX")
RemoteServer.sin_zero(0) = 0
CR = connect(sock, RemoteServer, Len(RemoteServer))
 
 
'Création d 'un socket
 
Dim sock As Long
sock = Socket(AF_INET, SOCK_DGRAM, IPPROTO_UDP)
 
 
'Port
 
Dim CR As Long
Dim LocalServer As SOCK_ADDR
LocalServer.sin_family = AF_INET
LocalServer.sin_port = 0
LocalServer.sin_addr.S_addr = INADDR_ANY
CR = bind(sock, LocalServer, Len(LocalServer))
 
 
'listen permet de mettre un socket en attente de connection
 
Dim CR As Long
Dim sock As Long
CR = listen(sock, 1)
 
'send permet d'envoyer
 
Dim CR As Long
Dim longSend As Long
longSend = Len(chaine)
ReDim buff(longSend + 1) As Byte
For i = 1 To longSend
    buff(i - 1) = Asc(Mid(chaine, i, 1))
Next
buff(longSend) = 0
CR = send(sock, buff(0), longSend, 0)
 
 
'recv permet de lire dans un socket
 
Const MAX_BUFF_SIZE = 10000
Dim buff(0 To MAX_BUFF_SIZE) As Byte
Dim sock As Long
Dim CR As Long
 
CR = recv(sock, buff(0), MAX_BUFF_SIZE, 0)
 
 
'closesocket permet de fermer un socket
 
Dim Result As Long
Dim sock As Long
 
Result = closesocket(sock)

Fuente: Site de programmation en Visual Basic

Espero que te sirva!!
Saludos