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How to perform connectionless data transfer?

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I'm using .NET C# in VS 2008.

I've performed connection oriented data transfer using Sockets.

But I want to broadcast a message in a LAN, and the suitable process accepting the packet has to reply to the sender.

Ques... How to do this? Is it also performed using sockets?
Every socket has two endpoints.
For sender these are <Senders Address>, <Broadcast Address>
For receiver, <Receivers Address>, <Senders Address>
But the senders address is unknown and hence its remote end point is not defined, so how to do it using sockets??

Ques... Do I have to include the sender's IP in the packet??

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Can't we use Socket at the server (instead of UdpClient) by setting the required protocol and not binding it to any IP?

Whats the difference between this and the UdpClient method?

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