There are a couple of ways to do this.  First, note that CNiDataSocketData does not just encapsulate the data - it encapsulates the data and its attributes.  Therefore, to actually get to the data you should use the Value property.  The Value property is a CNiVariant, which you can then cast to a CString since CNiVariant defines operator CString.  For example:
    m_Value1.SetWindowText((CString)data.Value);
CNiDataSocketData also defines several conversion operators, including operator CString, which apply the conversion to the data.  So you could also do this:
    m_Value1.SetWindowText((CString)data);
- Elton