Creating Sharepoint Lists service Proxy Class.

1. Browse the service of your sharepoint site using :

http://SiteName:portnumber/_vti_bin/lists.asmx

2. Now to create a wsdl service proxy class:
    1. Run Command prompt and go to path "C:\Program Files (x86)\Microsoft SDKs\Windows\v7.0A\Bin"

then type wsdl.exe followed by the service url as shown below

"C:\Program Files (x86)\Microsoft SDKs\Windows\v7.0A\Bin>wsdl.exe http://SiteName:PortNumber/_vti_bin/lists.asmx /out:FileName.cs"

3. The file will be created in "C:\Program Files (x86)\Microsoft SDKs\Windows\v7.0A\Bin".                  

Copy the file to your solution and use it.