There are numerous changes between VS 2005 and VS 2008.  One of the changes has to deal with the way you add a web reference in a project.  Here are the steps to add a web reference to a windows application in  VS 2008.  First step is to right click the project and select Add Service Reference.

The second step is to select the Advanced button at the bottom of the form:

 The third step is to click the Add Web Reference button to open the web reference dialog:

You are now able to add your web reference as before:

 Not as convenient as right clicking the project and adding the web reference but just need to drill down a little further.

Carlos