http://gafferongames.com/networking-for-game-programmers/ - here's a good tutorial on programming network for action, fps etc games using UDP. It's written by a real pro but I find it a bit hard to fully understand it. You need advanced c++ knowledge and some experience with winsock imho.
ah true. Next lesson in thsi tut was creating a server... Though there was nothing said that in order to connect to localhost you need to create a server first and run it. For some really new users it might not be so obvious. Thanks for your help