Pushlet, Long polling or polling - Which one should I use in my chat application?

I have to develop a multiple users chat application (like msn). I don't what to use any framework to build it because I want to learn how those things work.

I am developing it in Delphi or C# but it does not really matter. What matter is that the chat client is going to be an app, not a browser.

The question is: what is the best way of handling messages between the clients?

So far, I know those techniques:

Pushlet

Polling

Long polling

Link to the Wikipedia

Solution

Do you need to support (tens of) thousands of simultanous connections? If yes, I recommend to take a look at

IOCP (completion ports)
asynchronous request processing (instead of one thread per request)

which are used in application servers and standards like Servlet 3.0 to minimize the number of worker threads and speed up network operation

There is a IOCP library for Delphi - see Is there a I/O completion port based component for Delphi?

Also HTTP could be used as the internal protocol, the new Microsoft http.sys library provides a great foundation and is included with new versions of Windows.

To give an impression how efficient messaging servers can be: on relatively modest hardware, the open source ActiveMQ Apollo server can handle 1.2 million messages per second. (It is written in Java)