At the time being, I don't have any specific code, but I can give you some general advice. Assuming you know the port number you want to get packets 'from', as well as the server address the packets are being sent to or from, I reccomend you simply make a proxy program that relays data between client and server. Schematically, it would look something like this:

- Client starts.
- Client connects to your proxy program (this is tricky, it might require you to dissassemble the client exe file in the worst case scenario).
- Client starts to send data to the server, which is picked up by your program, saved to disk, and then sent to the server.
- Server responds with some data that is sent to your program, which is, again, saved to disk by your program, and then relayed to the client.

etc.

Hope that wasn't too hard to understand! Good luck! :)

I would first try to use WireShark to do the capture for me.
If that's not good, then I'd use the WinPcap library to help me capture packets.
Only if that didn't work would I go looking for SOCK_RAW type socket information on MSDN.