Salesforce .net API integration

I'm a little confused. We downloaded the WSDL file from Salesforce and created a web reference to it using a file path as suggested. It created what I understood to be the proxy classes, but not the SforceService class.

Someone else suggested that you have to use the WSDL.exe to generate the class file which I did and it now works.

What I don't understand is why?

Didn't the process of created a web reference configure the proxies as needed? Why the extra step?

Any advice?