Well to add a winsock control. You press CTRL+T then check the component "Microsoft Winsock Control 6.0 (SP6)" something like like... then add the control to the form.
Check out
http://www.winsockvb.com/ You can do server/client functions pretty easily. Looking at examples would be the best way to illustrate that.
Of course, you should finish the
game first, then adapt the winsock control. It'll be all the more confusing to test a
game with a winsock connection that in itself will need testing. Like two stages I guess...