Connected Event not getting fired if the Blocking (General questions)

Hi I am trying to connect to a remote machine in a non-blocking mode.
I have set the Blocking property to FALSE, set the other parameters and properties correctly and issue a connect commamd.

The call returns immediately as expected, however I wait for connected event to fire before I proceed, unfortunately the event is never fired and ultimately my connection request timed out.

I have implemented the Notification Interfaces instead of Event-Sink handling.

Any Idea what I might be doing wrong?
Thanks