1. From within VS.NET open up a new or existing C# project.
2. In VS.NET's Solution Explorer panel expand the project and then expand References.
3. Right-click on references and select 'Add Web Reference'
4. Copy your wsdl reference in the dialog box (ie. http://localhost/crn/cgi-bin/cognos.cgi?wsdl) and then click 'Add Reference'.
You will then have to use this reference name in your C# imports statement when you're coding your SDK project.