Visual C++ Winsock

1) There is no ordering or packet ID's provided by UDP -- it is a very simplistic protocol and not designed for guaranteed delivery or proper ordering.  As such, you would need to design and implement your own ordering scheme and include it as a header in the data packet itself.  (Essentially, you'll rewrite the TCP stack yourself.)

The way to do this is to design your own Network Layer header (and you can certainly steal from the TCP spec if it makes sense) and include that in every UDP packet you send.  Including elements such as Total Message Length, current packet length, current packet number, etc.

Then, you'd need to fragment each message on your own.  A VERY simplistic approach would be something like this:

    BytesLeft=MessageLength;
    for(FragmentNumber=0,ptr=Message;BytesLeft>0;FragmentNumber++)
    {
        BytesToSend=min(BytesLeft,MaximumFragmentSize);
        memcpy(Fragment,ptr,BytesToSend);
        SendUDPFragment(Fragment,BytesToSend,FragmentNumber);
        ptr+=BytesToSend;
    }

Then, inside your SendUDPFragment code, you'll put your own wrapper around the data block, such as this:
    struct FragmentBlock
   {
        LONG MessageId;
        LONG FragmentNumber;
        WORD BytesInThisFragment;
        BYTE  LastFragmentFlag;
        BYTE FragmentData[MaximumFragmentSize];
    }

You'd have to set the MessageId based on the computer, process, or some other unique attribute, so that the receiver can receive multiple messages at the same time.  Then, the FragmentNumber can be used to reassemble fragments in the proper order, and the LastFragmentFlag can indicate that this is all the data that's coming.  You'd want to pick a "safe" value for the MaximumFragmentSize, like 500 or so, so that it would work on ANY network.  Again, TCP does this all for you.
   
2) You may need to post multiple listener threads, depending on the frequency of incoming packets.  One I/O system I work with posts (I think) 4 threads when it listens, just to make sure that a sudden burst of activity won't cause something to be missed.  This would be especially important for UDP, which has no built-in retransmission capability.