See,
Either you could pull the data from your website, which is easier to implement, but is not ideal when you want high performance.
1.Expose a webservice or Rest Api in your webapplication.
2.Use a HTTP client object to call the API from your desktop application.
Or you could push the data from web server, using push service. You could refer following link for better understanding;
http://en.wikipedia.org/wiki/Push_technology[
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