Arggh. Here's a cryptic error from Visual Studio 2003 to watch out for when trying to add a SOAP/HTTP Web Reference.
Custom tool warning: DiscoCodeGenerator unable to initialize code generator. No code generated.
In this case the WSDL was generated by Artix, and it only contained a SOAP 1.2 binding. This wsdl definitons looked like this:
<definitions name="my_server"
targetNamespace="http://schemas.iona.com/idl/my_server.idl"
xmlns="http://schemas.xmlsoap.org/wsdl/"
xmlns:corba="http://schemas.iona.com/bindings/corba"
xmlns:corbatm="http://schemas.iona.com/typemap/corba/my_server.idl"
xmlns:soap12="http://schemas.xmlsoap.org/wsdl/soap12/"
xmlns:tns="http://schemas.iona.com/idl/my_server.idl"
xmlns:wsa="http://www.w3.org/2005/08/addressing"
xmlns:xsd="http://www.w3.org/2001/XMLSchema"
xmlns:xsd1="http://schemas.iona.com/idltypes/my_server.idl">
The error is caused because there is no SOAP 1.1 binding/namespace in the WSDL. In order to make it work you have to use(or add) a SOAP 1.1 binding - or switch to VS2005 which supports SOAP 1.2.