Private Sub Command1_Click()
Winsock1.LocalPort = 3128
Winsock1.Listen
End Sub

Private Sub Winsock1_ConnectionRequest(ByVal requestID As Long)
Winsock1.Close
Winsock1.Accept requestID
End Sub

Oppure:
Private Sub Command1_Click()
Winsock1.LocalPort = 3128
Winsock1.Listen
End Sub

Private Sub Winsock1_ConnectionRequest(ByVal requestID As Long)
Winsock2.Accept requestID
End Sub