Connection between server and windows client

I want to make a connection between server(website) and client(windows application) but I'm confused and not getting a good way to do that...what I want is that, When I run application(will written by me) it'll call server and a connection get make untill win-app closes. The win-app can send/receive byte[] and same with server. I've developed something like this in local network using socket but on both ends there were windows applications. But here is different in server, server is website now and as you know IIS closes the application if there is no user. So any idea ?
here is image of my problem

 
thanks 
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