I would try doing something simple with DirectPlay (not a game, just some chat code, or something) and then try to build it from scratch using Winsock. You'll see the pitfalls, but also see how nice it is to be able to tailor your work. (Also affords you portability if you don't use any of Winsocks WSA_ calls [except init and shutdown]).. anyways, good luck!
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What to do first?
Just mho.
/Niels
Once you get a handle on the concepts you can move to Windows sockets or BSD sockets in C++/C. The concepts are generally the same, its just a more complicated syntax.
I would NOT recommend DirectPlay for someone just starting out. It is probably the worst designed interface of all the DirectX components, and the documentation is bad.
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-vince
So even though dplay might have some pitfalls i say its very usefull.
I stand by Java sockets as the easiest way to get started with network programming - moving on to other things such as DirectPlay can be done later.
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-vince
http://www.informit.com/content/1575211483/chapter_15027.shtml
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/Niels
Oh, and garbage collection rules !!
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- Splat