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Just got that lovely exception when attempting to do a UDP Socket connection. It's been years since I had done Socket programming and forgot one little gotcha, you have to switch the SocketType to Dgram instead of Stream. So for instance if you wanted to create a TCP socket object in .NET:
Socket clientSocket = new Socket(AddressFamily.InterNetwork, SocketType.Stream, ProtocolType.Tcp); ]]>
or on UDP:
Socket clientSocket = new Socket(AddressFamily.InterNetwork, SocketType.Dgram, ProtocolType.Udp); ]]>