C#/.NET Receiving UDP packets

Question

I'm on OS X. I have a MIDI keyboard plugged in. In Audio MIDI Setup, I redirect MIDI events from the keyboard onto the network. it tells me it is using port 5004:

NOTE: Notice I have set 'who may connect me' to 'anyone', and in 'live routings' I have sent the MIDI keyboard routing INTO the network.

Now from a C#/.NET script (within my Unity3D project), I attempt to listen to this port:

UdpClient udp;
udp = new UdpClient( 5004 ) // <-- SocketException: Address already in use

System.Object myObj = null;

udp.BeginReceive( 
        new AsyncCallback( UDP_IncomingData ), 
        myObj // udp_ep 
        );

static void UDP_IncomingData( IAsyncResult ar )
{
    Debug.Log( "GotData" );

    //Get the data from the response
    byte[] bResp = udp.EndReceive( ar, ref udp_ep );

    //Convert the data to a string
    string sResponse = Encoding.UTF8.GetString( bResp );

    //Display the string
    Console.WriteLine( sResponse );

    //Close the UDP connection
    udp.Close( );
}

I can't understand this error message. Of course the port is in use; the MIDI keyboard should be broadcasting from this port.

How do I listen to the broadcast?

EDIT: I'm now thinking that I need to create the UDP client on a new unused port, and then connect to the port I'm interested in:

udp = new UdpClient( 0 ); // <-- http://stackoverflow.com/questions/2456773/find-a-free-port

udp.Connect( "192.168.0.13", 5004 );

So now it doesn't generate any errors. But I press keys on the MIDI keyboard, and the received-data callback doesn't trigger. So I still don't know if I've got it right.