It is simply not a SOAP web service. This is a REST XML service. REST services do not provide self-describing metadata in the form of WSDL.
You need another way to communicate with the service. If there is no C # shell, you probably have to write a url generator yourself, and the .NET Framework will deserialize the xml documents for you into beautifully written classes (which you also write yourself).
Try reading more: Oddle Developer Center
EDIT: Also, if you are loading an XML document from a web application, you need to consider a few things.
When you are developing, make sure that you are using Visual Studio as an Administrator .
When deploying to a hosting provider, make sure that you do not use Medium Trust , as this may prevent you from accessing external web sources.
But still I cannot understand why the Add Web Directory dialog cannot connect to the oodle web server. Check network settings, firewall settings, etc. If you can visit the URL in your web browser, you can download the document via code.
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