UDP Socket

Please, help me!
I cannot find much information about using datagram sockets and I have a problem with it.
I'm using CAsyncSocket class. I create socket with Create function and specified SOCK_DGRAM flag. Then I send data using SendTo function. The data gets received on the other side and the reply is sent back. I'm trying to catch this replay in the OnReceive function, but it's never called. But I can see the data arrived on the Network Monitor. What am I doing wrong? Help me, please!