I downloaded VFPCOM but can't see the use of it to solve my problem.
The only thing I found that could be of use to me is the BindEvents() function, but as I understood from the docs it is used to bind an event in an automation server to a method on my class. The Winsock control is not an automation server (am I right?) and even if it was the problem would persist as the Winsock control would be idle while waiting for data.

I'm about to give up on this one (something I'm not use to <g>).
These are the times when I really wish my customer was using Linux with Apache or anything else but NT/IIS. ;)