Yes Sockets will be best for creating a real time system like MSN Messenger etc.
You can use TcpClient and TcpListener classes to do this which both are wrapper around Socket class and hide many complexities providing a friendly programming interface to novice network programmer.
When 2 parties are connected using above 2 classes then you can use NetworkStream to transfer data.
All the above classes reside in System.Net.Sockets namespace and MSDN have got very good explaination and samples of each.
I hope this will help.
Best Regards,
Rizwan aka RizwanSharp
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