Why these error occur while using CSocket

I am having some problems while using a class CAttpProxy drived from CSocket class.
I am writing a proxy application. I noticed that sometimes it happens that while I am receiveing data from the destined server
and sending it to the corresponding client, a OnClose message occur for the socket connected to the client and before it that a
complete data is being sent to the client, its connected socket get closed. As a result the corresponding client could not recieve
the complete data. Whereas the logic I am using it should not be closed till a complete data has been sent to it. But I am not getting
that why and from where this message occurs.
Similarly I am having some more problems.
Like I also have defined a unser defined message handler OnClosed( ) whereas its built-in function is OnClose(). I defined this
function so that I could control the sequence of the function for the socket connected to the client. I also have defined a Target()
function to set a target window. But when it reaches
at the statements as follows inside an OnRecieve() function

Target((CWnd*)this,WM_CONNECTION_CLOSED);
ReceiveWindow->SendMessage(Message);

I got the following error messages

Microsoft Visual C++ Debug Library

Debug Assertion Failed
Program: c:/Advanced Proxy/Debug/AdvancedProxy.exe
File: afxwin2.inl
Line:39
For Information that how your program can cause an assertion failure, see the visual c++ documentation on asserts.
Press 'Retry' to debug the application.
Abort Retry Ignore

Then

Proxy Thread/ Advanced Proxy.exe- Application Error
The exception breakpoint. A breakpoint has been reached (0x80000003) occurred in Application at location 0x77f76274.
Click OK to terminate the application.
Click CANCEL to debug the application.
OK CANCEL


Socket Notification Sink- Application Error
The exception breakpoint. A breakpoint has been reached (0x80000003) occurred in Application at location 0x77f76274.
Click OK to terminate the application.
Click CANCEL to debug the application.
OK CANCEL

Socket Notification Error- Application Error
The instruction at "0x00473a53" referenced memory at "0x00000004". The memory
could not be "read".
Click OK to terminate the application.
Click CANCEL to debug the application.
OK CANCEL

Following error messages also occur while running the application

Debug Assertion Failed
Program: c:/Advanced Proxy/Debug/AdvancedProxy.exe
File: sockcore.cpp
Line:482
For Information that how your program can cause an assertion failure, see the visual c++ documentation on asserts.
Press 'Retry' to debug the application.
Abort Retry Ignore

Debug Assertion Failed
Program: c:/Advanced Proxy/Debug/AdvancedProxy.exe
File: sockcore.cpp
Line:442
For Information that how your program can cause an assertion failure, see the visual c++ documentation on asserts.
Press 'Retry' to debug the application.
Abort Retry Ignore

Please if any one of you could help me and explain me that why these sort of errors occurs and how I will be able to rectify all these.
I am ready to explain it in more details if you people could help me. I would really appriciate it.
Thanks.