For example, we call BeginReceive and have the callback method that BeginReceive executes when it has completed. If that callback method once again calls BeginReceive in my mind it would be very similar to recursion. How is that this does not cause a stackoverflow exception. Example code from MSDN:

private static void Receive(Socket client) {
    try {
        // Create the state object.
        StateObject state = new StateObject();
        state.workSocket = client;

        // Begin receiving the data from the remote device.
        client.BeginReceive( state.buffer, 0, StateObject.BufferSize, 0,
            new AsyncCallback(ReceiveCallback), state);
    } catch (Exception e) {
        Console.WriteLine(e.ToString());
    }
}

private static void ReceiveCallback( IAsyncResult ar ) {
    try {
        // Retrieve the state object and the client socket 
        // from the asynchronous state object.
        StateObject state = (StateObject) ar.AsyncState;
        Socket client = state.workSocket;

        // Read data from the remote device.
        int bytesRead = client.EndReceive(ar);

        if (bytesRead > 0) {
            // There might be more data, so store the data received so far.
        state.sb.Append(Encoding.ASCII.GetString(state.buffer,0,bytesRead));

            // Get the rest of the data.
            client.BeginReceive(state.buffer,0,StateObject.BufferSize,0,
                new AsyncCallback(ReceiveCallback), state);
        } else {
            // All the data has arrived; put it in response.
            if (state.sb.Length > 1) {
                response = state.sb.ToString();
            }
            // Signal that all bytes have been received.
            receiveDone.Set();
        }
    } catch (Exception e) {
        Console.WriteLine(e.ToString());
    }
}