What happens if you break out of a Lock() statement?

I'm writing a program which listens to an incoming TcpClient and handles data when it arrives. The Listen() method is run on a separate thread within the component, so it needs to be threadsafe. If I break out of a do while loop while I'm within a lock() statement, will the lock be released? If not, how do I accomplish this?

Thanks!

(Any other advice on the subject of Asynchronous TCP Sockets is welcome as well.)

private void Listen()
{
    do
    {
        lock (_clientLock)
        {
            if (!_client.Connected) break;
            lock (_stateLock)
            {
                if (!_listening) break;
                if (_client.GetStream().DataAvailable) HandleData();
            }
        }
        Thread.Sleep(0);
    } while (true);
}