How to generate proxy class from WSDL in case of webservice

You would need to use the ServiceModel Metadata Utility Tool, or Visual Studio's Add Service Reference Dialog in order to generate a client proxy for the service with which you want to communicate. The generated proxy will provide classes that abstract the service contract, and you can program your client applications to interact with these classes.

There is an utility, it shipps with Visual Studio (since 2005, I think), called wsdl.exe

It's commandline, and can be used to generate proxy.