Get The Most Out Of .NET (when Milliseconds Count)?

I'm working on a client application (server is out of my control) that connects to a server and exchanges query/command datagrams. 'Milliseconds Count!' according to my project specification, meaning that the more we can shave off a send/receive process the better.

I understand that there are physical limitations like network bandwidth, internet latency, etc. Even so, I have a strong gut feeling that a lot of the latency I'm seeing is directly related to processing; it seems 'out of phase' from the latency of other network operations (albeit with significantly smaller datagrams). IE: A standard 32 byte Windows Ping returns in about 5ms consistently, our query/response datagram (468 bytes out, 1500 bytes back) returns in about 15ms consistently.

I'm also working with multiple threads to speed things up as much as possible at the client side, and it seems the more threads are involved the more latency is generated (I've seen up to 70ms of additional lag when using 3 threads as opposed to 2). In a recent Google I found something that I only glanced at, that said something about a limitation in Windows System Timing where some claim was made that any System.TimeSpan < 10ms was effectively going to be a 10ms Timespan because the Windows System Clock only 'Ticks' every 10ms. I wasn't paying attention at the time, but now I'm afraid it might be relevant and I can't find it again.