I'm not familiar with WRL but since it supports C++11 lambdas I believe it should also support std::bind
:
auto callback = Callback<ITypedEventHandler<StreamSocketListener*,
StreamSocketListenerConnectionReceivedEventArgs*>>
(std::bind(
&MyClass::OnConnectionReceived,
ptr_to_instance_of_MyClass, // eg. this
std::placeholders::_1, // cbListener
std::placeholders::_2 // args
));
hr = listener->add_ConnectionReceived(callback.Get(), &this->connectionReceivedToken);