Web Services and Threads

Question

Hello - I'm developing a web application that requires constant listening to the server. The server receives responses from various databases that are legacy and are not quick queries. What I would like to do is have the user continue to use the app while having a windows popup via active-x control (or something along that line) whenever the server catches data and sends it back out. My question is, can I use threading efficiently inside a web service, and if so, what's the best way to do this? I'm fairly new to ASP.Net, but do have a good amt of C# behind me. Any suggestions would be great.