asyncronuous messaging with biztalk 2006

You're describing a "singleton" orchestration where a single orchestration instance processes ALL the messages.  You have to design this special since the default behavior of an orchestration is to operate in a multi-threaded fashion.  This scenario is also called a "convoy."  Searches for this will come up with a lot, and you can read this MSDN whitepaper on the topic (http://msdn.microsoft.com/library/default.asp?url=/library/en-us/bts_2004wp/html/956fd4cb-aacc-43ee-99b6-f6137a5a2914.asp).