UDP receiving in matlab

Hello, my device support UDP transfer over 500Mb/s. I have my own Windows application that can receive the IQ data from device. I would like to integrate UDP receive in matlab (easy way how to filtering a processing this data).

My idea is use the functions. Original C code is multithreading application (one thread for UDP receiving, one for copying and checking) which use Windows API. I have problem with function ending. When c = calllib('MyLib.dll','Connect') is leaved the dll code is stoped too. But I need dll code keep in runing. Is there any exmaples how to solve this? Many devices have Matlab support (control and receiving data), so it must be solvable.

thank you