Silverlight 2 Beta 2 needs a policy file before you can connect with sockets.
A policy file looks like this:
<?xml version="1.0" encoding ="utf-8"?>
<domain uri="*" />
<socket-resource port="4502-4534" protocol="tcp" />
Before silverlight will connect to your socket server, it will first request the policy file on the target site on port 943. So there needs to be a policy server running on port 943.
A good easy example of a policy server and policy file can be found on MSDN:
You can also download my Chat Socket example, there's a policy server included.