Here is how you can make C# WebRequests asynchronously. The version on MSDN is overcomplicated and utterly sucks. This one is minimal and doesn't suck.

WebRequests.cs

/*
 * ----------------------------------------------------------------------------
 * "THE BEER-WARE LICENSE" (Revision 42):
 * Guoxun Yang and Zeljko Milojkovic wrote this file. As long as you retain this
 * notice you can do whatever you want with this stuff. If we meet some day, and
 * you think this stuff is worth it, you can buy us beer in return.
 * ----------------------------------------------------------------------------
 */

using System;
using System.Net;

// Reference needed: System
// Target framework 2.0 or higher, Client or not
// Output type: Console application (for the Program class only)

namespace GYZM
{
    class AsyncWebRequest
    {
        static public AsyncWebRequest Create(string Url)
        {
            return new AsyncWebRequest(new byte[BUFFER_SIZE],
                                (HttpWebRequest)WebRequest.Create(Url));
        }
        AsyncWebRequest(byte[] buffer, HttpWebRequest request)
        {
            this.buffer = buffer;
            this.request = request;
            }
        const int BUFFER_SIZE = 4096;
        readonly HttpWebRequest request;
        readonly byte[] buffer;
        HttpWebResponse response;
        string result;

        public delegate void ResultDelegate(string result);
        public delegate void ErrorDelegate(Exception e);

        public void Execute(ResultDelegate OnComplete, ErrorDelegate OnError)
        {
            request.BeginGetResponse(new AsyncCallback(async_result_get_response =>
            {
                try
                {
                    result = "";
                    response = (HttpWebResponse)request.EndGetResponse(async_result_get_response);
                    Read(OnComplete, OnError);
                }
                catch (Exception ex)
                {
                    OnError(ex);
                    return;
                }
                    

            }), this);
        }

        void Read(ResultDelegate OnComplete, ErrorDelegate OnError)
        {
            response.GetResponseStream().BeginRead(buffer, 0, BUFFER_SIZE, async_results_read =>
                        {
                            int count = response.GetResponseStream().EndRead(async_results_read);
                            if (count > 0)
                            {
                                result += System.Text.Encoding.ASCII.GetString(buffer, 0, count);
                                Read(OnComplete, OnError);
                            }
                            else
                            {
                                response.GetResponseStream().Close();
                                response.Close();
                                OnComplete(result);
                            }
                        }, this);
        }
    }

    class Program
    {
        static void Main(string[] args)
        {
            string address;
            while (string.IsNullOrWhiteSpace(address = Console.ReadLine()) || address.ToLower() != "exit")
            {
                if (!address.Contains("http://"))
                {
                    address = "http://" + address;
                }
                Console.WriteLine("GET " + address);
                AsyncWebRequest.Create(address).Execute(result_text =>
                    {
                        Console.WriteLine();
                        Console.WriteLine("Received response:");
                        Console.WriteLine();
                        Console.WriteLine(result_text);
                        Console.WriteLine();
                        Console.WriteLine();
                    },
                    error =>
                    {
                        Console.WriteLine("Request failed for the following reason: " + error.Message);
                        Console.WriteLine();
                    });
            }
        }
    }
}