I've been talking to a few customers about gadget programming recently. I've also been doing some gadget programming myself to get ready for my webcast this month on the topic. One of the first things people ask me about gadget programming, once they understand the fundamentals, is how to make network calls from a gadget. The short answer, is XMLHTTP. Yes, there are other approaches, but I suspect that XMLHTTP will be the most common one. The good news is that the Microsoft AJAX Library and ASP.NET AJAX make XMLHTTP programming as easy as calling a Web Service from a managed language. Steve Marx just posted a nice walkthrough of how to get it working. I'll be showing this as part of my Developing Gadgets for the Windows Vista Sidebar webcast on Feb 28th. You can register for the webcast at http://msevents.microsoft.com/CUI/WebCastEventDetails.aspx?EventID=1032325327&EventCategory=4&culture=en-US&CountryCode=US.
UPDATE: I guess it would be nice to actually have the link to Steve's post:). It is http://smarx.com/posts/ajax-enabled-vista-sidebar-gadgets.aspx.