What you're attempting to do is possibile, but the method to do it varies from module to module. If you're just sending small amounts of data, using the module's IP stack is okay, but it's not generally as reliable as the operating system's IP stack.
Please post your module information, and we'll be able to help you further.
Thanks a million for your response. I am using a Telit GC864 Quad V2 module http://www.telit.com/en/products/gsm-gprs.php?p_id=12&p_ac=show&p=91 .I will have a look at the IP stack, I am ultinmately looking to use remote desktop with the unit, I know it will be slow but I want to be able to get small data from the computer in question.