You can use the winsock control or the winsock api to create a chat program. You don't need a server to do it. You can do client to client without a dedicated server. You can write it so the program is the client and server on every machine.
Hm... Sounds interesting. Does that mean that each chat clients sends info to all the other chat clients? Isn't that a lot of work?

Great with the references but do you think you could throw me a link to some online resources. ThanX!