The Exchange 2007 SDK describes how to generate proxy classes by using the Add Web Reference. This may be fine for some of you, but others may want more flexibility with their proxy classes. This is where wsdl.exe comes into the picture.
Wsdl.exe parses schema and WSDL files to generate Microsoft .NET code files. These code files contain the types that act as proxies for the serialization and deserialization of the XML messages that are sent to and from the Exchange server. Wsdl.exe is included in the .NET Framework SDK and with Visual Studio 2003 and 2005. Different proxy generators create different object models; in this discussion, I will focus on wsdl.exe version 2.0.50727.42, the version that is included with Visual Studio 2005.
Instead of using wsdl.exe, you can use the Add Web References option in Visual Studio 2005 to create proxy classes. (This option will still be available in Visual Studio 2008, except that it will be well hidden). I prefer to use wsdl.exe to generate my proxy classes, for two reasons: 1) I can easily extend the proxy classes to make them easier to use, and 2) I can reuse my compiled DLL in all my Exchange Web Services projects. If I use the Add Web References option in Visual Studio, I have to regenerate the proxy classes for each project and therefore I lose any modifications that I made to the autogenerated classes. Oh, and remember that changes made to autogenerated classes are not supported by Microsoft; you are on your own with those modifications.