Have you seen UdpClient class in System.Net.Sockets namespace see MSDN for help and samples. You can also use Socket class with datagram.... (Connectionless Sockets).
Best Regards,
Rizwan
Sumit Ghosh
Posted: .NET Framework Networking and Communication, Chat Program without server
That chat program uses peer-2-peer chat technology in which the client has a server or a listener module embedded into itself. you can learn more on p2p by searching more on p2p in google.