First off, WinSock (as the name suggests) is a Windows only socket API. You can use the standard Linux socket APIs to communicate with a WinSock program though. There's an excellent tutorial on using sockets in C here
To get C code running, you'll need to edit the code in a text editor of some kind. Emacs or vim are very popular, but something like Kate is much more newbie friendly. Then you'll need to run gcc -o program-name source-file-name to compile, then ./program-name to run.
If using C scares you
then you do have other options. I think you can use all the same functions in C++, or alternatively you could use Java. If you're after a more VB like environment, you could try Gambas
, although I don't know what sort of socket support it has.
I think that any Live CD should have the necessary tools.
If you need any more advice (or I've left you even more confused
) then keep on posting! Hopefully I've been some help though.