What is proper way to receive data using Winsock

In the code snippet below, I wasn't getting all the data being sent until I added the Sleep function. I'm wondering if there is a different way of doing this without using Sleep.

I tried the loops in several configurations and this is the best I could come up with.

// Make the socket blocking
SetBlockingMode(ListenSocket, TRUE);

while (true)
{
    iRequestNum++;

    // Accept incoming connection
    ClientSocket = accept(ListenSocket, NULL, NULL);
    if (ClientSocket == INVALID_SOCKET) {
        GetLastError(iResult, L"accept");
        closesocket(ListenSocket);
        WSACleanup();
        return 1;
    }

    // Make the socket non-blocking
    SetBlockingMode(ClientSocket, FALSE);

    // Receive the data
    ReceivedData.clear();
    while (true)
    {
        WSASetLastError(0);
        Sleep(5);

        // receive data from the client
        ZeroMemory(szRecvBuffer, sizeof(szRecvBuffer));
        iResult = recv(ClientSocket, szRecvBuffer, sizeof(szRecvBuffer) - 1, 0);
        iLastError = WSAGetLastError();

        // add received data to the string variable
        if (iResult > 0) {
            ReceivedData.append(szRecvBuffer);
            continue;
        }

        // connection closed
        if (iResult == 0) {
            break;
        }

        // break out of loop if would block
        if (iLastError == WSAEWOULDBLOCK) {
            break;
        }
    }