Quite. The HTTP protocol closes the connection after every page/data load, so that's not exactly good for performance, especially when using TCP/IP.
Now, if you could use Silverlight or Flash, it'd be a very different story, as setting up a socket (either TCP or UDP - UDP would probably do just fine, the possibility of a bit of lost data is unimportant) is easy.
But when you're going through that trouble, you can just as well write a desktop program to do it with less overhead