I'm including the proper SOAP support from AtlServer, and use a custom pre-build by running sproxy <web service URL>, say
  .\sproxy\sproxy.exe /wsdl /out:TheWebService.h http://www.acme.com/WS/TheWebService.asmx?wsdl
(assuming is an asmx).

This will create the TheWebService.h file, then include in your wrapper class and that's it.
(sproxy comes in source code also in AtlServer\source\SProxy).