I found part of the problem. I decided to look at the files on my site with my browser with ftp, and found my webservice.asmx file was in the stats folder. I have no idea why VWD decided to compile to that folder.
So, in my browser http://mydomain/stats/webservice.asmx (real domain substituted for "mydomain")
displays a screen listing my little HelloWorld service, although first I have to enter my username and password.
So I put the same url into the add web reference dialog, and it seem to work, except that it asks for 4 things in a Discovery Credential dialog.
1)Url: I put in the same
2) User name: I put in the same user name I successfully used in the browser.
3) Password: I put in the same passwordI successfully used in the browser.
4) Domain: I put in my domain.
It does not like that combination. It blanks the password and throws up the Discovery Credential dialog again. Ad infinitum. Why would it not like my password when the browser (Internet Explorer 6.0) liked it just fine?
Do I need to enter the domain in a different way, perhaps? I'm stumped now.
Thanks,
Jon