>>There's a basic tutorial/walk-thru here : http://msdn.microsoft.com/en-us/library/windowsazure/ee706736
>>It's actually a lot simpler than it sounds :-}
>
>I read some of that. This Azure stuff, is it like a Cloud infrastruture where we would need to go through an alternative route to obtain the goal I am trying to reach here? As, one of the requirement, is to work within our own infrastructure only and not have to set up something on another Web server.

The service bus is on the MS cloud. The example is basically a WVF service that is routed via the service bus. The advantages of this approach are that (a) it makes it simple to connect the client/server and, once the connection is made, they can usually communicate directly (i.e. not via the bus) and (b) brings in the possibility of queueing messages on the cloud for clients who are not always connected.

If neither of those is of benefit to you then you could just write your own WCF service using wsDualHttpBinding to give duplex communications between client and server. See:
http://msdn.microsoft.com/en-us/library/ms731064.aspx
Snip:
"A duplex service contract is a message exchange pattern in which both endpoints can send messages to the other independently. A duplex service, therefore, can send messages back to the client endpoint, providing event-like behavior."