Take a look at the "Functional Webserver" project by Davux. It uses TCP sockets. The actual socket library is from another developer, and is basically a native ARM wrapper around WinCE's WinSock API which in turn exports that functionality to COM. Throw in some code from Mono and you have a working TCP socket implementation. I'm using it myself, in an as-yet unreleased backup app.
No support for UDP just yet, but TCP works fine. The source to "Functional Webserver" is available (you can also get a slightly tweaked version of the same library in my "IE Search Switcher" app, although I'm not using the socket support there). It's only the C# source and a pre-compiled ARM binary - no C++ source, or I might have already added UDP - but if you look hard enough you can probably find that too (or maybe I should...)