Jay,

I never used the Winsock control other than for very simple tasks where I droped it on a form, but I think that in your case you should implement it's interface to get the events, something like the following (I am not 100% sure if the following works, it is just what I would try first)

DEFINE CLASS EMPS_Out_Class AS Session OLEPUBLIC
	IMPLEMENTS DMSWinsockControlEvents IN "c:\windows\system32\mswinsck.ocx"

	PROCEDURE DMSWinsockControlEvents_Error(Number AS INTEGER, Description AS STRING, Scode AS Number, Source AS STRING, HelpFile AS STRING, HelpContext AS Number, CancelDisplay AS LOGICAL) AS VOID;
 				HELPSTRING "Error occurred"
	* add user code here
	ENDPROC

	PROCEDURE DMSWinsockControlEvents_DataArrival(bytesTotal AS Number) AS VOID;
 				HELPSTRING "Occurs when data has been received from the remote computer"

		strData = SPACE(256)  && Define string to pass to GetData

		This.oSock.Object.GetData(@strData)
		ThisForm.txtOutput.Value = strData

		* Testing code to parse HL7 billing data from Medinotes Client to EM tables
		Send_HL7_Demographic_Data(strData)

		* Convert_HL7_Billing_Data(FILETOSTR("c:\HL7_IN\HL7BB.tmp"))

		* STRTOFILE(strData,"c:\HL7_IN\HL7_Data_From_Service.txt",.T.)
	ENDPROC

	PROCEDURE DMSWinsockControlEvents_Connect() AS VOID;
 				HELPSTRING "Occurs connect operation is completed"
	* add user code here
	ENDPROC

	PROCEDURE DMSWinsockControlEvents_ConnectionRequest(requestID AS Number) AS VOID;
 				HELPSTRING "Occurs when a remote client is attempting to connect"
		#DEFINE sckClosed 0

		If This.Object.State <> sckClosed 
			This.oSock.Object.Close
		ENDif

		*!* Accept the request with the requestID 
		*!* parameter.
		This.oSock.Object.Accept(requestID)
	ENDPROC

	PROCEDURE DMSWinsockControlEvents_Close() AS VOID;
 				HELPSTRING "Occurs when the connection has been closed"
	* add user code here
	ENDPROC

	PROCEDURE DMSWinsockControlEvents_SendProgress(bytesSent AS Number, bytesRemaining AS Number) AS VOID;
 				HELPSTRING "Occurs during process of sending data"
	* add user code here
	ENDPROC

	PROCEDURE DMSWinsockControlEvents_SendComplete() AS VOID;
 				HELPSTRING "Occurs after a send operation has completed"
	* add user code here
	ENDPROC

	oSock = NULL

	PROCEDURE INIT

		THIS.oSock = CREATEOBJECT("MSWinsock.Winsock.1")
		Eventhandler(this.oSock, this)

	ENDPROC

enddefine

[Update]
I noticed you have references to thisform and to some procedures, while the latter might work, i will add them as methods of the class instead