On my machine I have a WSDL file and all the necessary schema files. I am trying to use svcutil to create client proxy code from the WSDL. Command:
svcutil myfi
Either specify the paths to all of the WSDL and schema files on the command line, or else use "Add Service Reference", which will do that for you.
Note that "Add Service Reference" does work with files on your local system - not just for files at a URL.