[Update 2014]: It seems that the example has been modified since this answer was posted, as noted in this thread. The MSDN example now handles multiple incoming connections properly. Anyway, the general approach described here is correct and perhaps it can provide additional clarification.
When doing socket communication, you basically have a single listener socket for all incoming connections, and multiple handler sockets for each connected client.
Listening to incoming connections
When you start listening to a port, you create a socket with a callback method for incoming connections (this is referencing the example you mentioned). That's the one-and-only listener socket for that port number:
listener.BeginAccept(new AsyncCallback(AcceptCallback), listener);
This line tells the listener to invoke the AcceptCallback method whenever a new client is connected (new connection callback). That method is the one which should do its work quickly, since it blocks other incoming connections.
Creating dedicated handler sockets
That is also why AcceptCallback must immediately create a dedicated "handler" socket with its own background data callback method (ReadCallback):
// inside AcceptCallback, we switch to the handler socket for communication
handler.BeginReceive(state.buffer, 0, StateObject.BufferSize, 0,
new AsyncCallback(ReadCallback), state); // fired on a background thread
From that moment on, ReadCallback method is invoked whenever some data is received by your newly connected client.
Also, before returning, AcceptCallback needs to call listener.BeginAccept again, to continue listening to new incoming connections:
// this is the same server socket we opened previously, which will now
// continue waiting for other client connections: it doesn't care about
// the actual data transmission between individual clients
listener.BeginAccept(new AsyncCallback(AcceptCallback), listener);
This part is omitted from the MSDN example, meaning it can only receive a single connection.
Receiving data
As soon as you get a packet of data from your client, ReadCallback method will be invoked. So, inside this data callback method, you need to read and process the received data, and then invoke the same BeginReceive method again (again, with ReadCallback as its data callback method).
[Edit]
The problem with MSDN example is that it allows connection of only a single client (listener.BeginAccept is called only once). To allow mulitple concurrent connections, you need to create a receive socket using handler.BeginReceive, and then call listener.BeginAccept to start listening to new clients.
