#ifdef WIN32
DWORD __stdcall CheckThread(LPVOID lpParam)
#else
		void * CheckThread(void *lpParam)
#endif
		{

	bind(WinSocket, (SOCKADDR*) &addr, sizeof(addr));
	char buf[1024] = { '\0' };
	int lenClient;
	while (1) {
		lenClient = sizeof(buf);
		lenClient = recvfrom(WinSocket, buf, lenClient, 0, (SOCKADDR*) &addr,
				&lenClient);
		if (lenClient > 0) {
			printf("out %i\n", lenClient);
			sendto(WinSocketP, buf, lenClient, 0, (SOCKADDR*) &addrp,
					sizeof(recv_sin));
		}
	}
}

#ifdef WIN32
DWORD __stdcall CheckThreadB(LPVOID lpParam)
#else
		void * CheckThreadB(void *lpParam)
#endif
		{
	char buf[1024] = { '\0' };
	int lenClient;

	bind(WinSocketP, (SOCKADDR*) &addrp, sizeof(addr));
	while (1) {
		lenClient = sizeof(buf);
		lenClient = recvfrom(WinSocketP, buf, lenClient, 0, (SOCKADDR*) &addrp,
				&lenClient);
		if (lenClient > 0) {
			printf("in %i\n", lenClient);
			sendto(WinSocket, buf, lenClient, 0, (SOCKADDR*) &addr,
					sizeof(recv_sin));
		}
	}
	return 1;
}

int _tmain(int argc, _TCHAR* argv[]) {
	WSAData wsaData;
	WSAStartup(MAKEWORD(2, 2), &wsaData);

	WinSocket = socket(AF_INET, SOCK_DGRAM, IPPROTO_UDP);

	addr.sin_family = AF_INET;
	addr.sin_port = htons(8080);
	addr.sin_addr.S_un.S_addr = inet_addr("127.0.0.1");

	WinSocketP = socket(AF_INET, SOCK_DGRAM, IPPROTO_UDP);

	addrp.sin_family = AF_INET;
	addrp.sin_port = htons(8888);
	addrp.sin_addr.S_un.S_addr = inet_addr("127.0.0.1");

	DWORD dwThreadId = 0;
	threadHandle = CreateThread(NULL, 0, (LPTHREAD_START_ROUTINE) CheckThread,
			NULL, 0, &dwThreadId);
	CloseHandle (threadHandle);

	dwThreadId = 0;
	threadHandle = CreateThread(NULL, 0, (LPTHREAD_START_ROUTINE) CheckThreadB,
			NULL, 0, &dwThreadId);
	CloseHandle(threadHandle);

	while (1) {
	}

	//closesocket(s);
	WSACleanup();

}

Клиент на порт 8888 <-> эта програ <-> сервер работающий на порту 8080