Prob consuming external web service

Hi,
I am trying to write test app to consume external (public) web service and keep getting error when trying to use VS .NET 03 to add web reference / generate proxy class.
A dialogue pops up with heading "Discovery Credentials for Proxy Server." and I enter my user/domain for internal network. Eventually returns error message :-

There was an error downloading 'http://www......asmx'.

The underlying connection was closed: Unable to connect to the remote server.

Now it displays the messages/service descriptions so it has found the WSDL.

I then tries copying the WSDL locally and configured the proxy class - but when I try to make a call to the webservice procedures it produces similar error as above.
And the error at this line in reference.vb

VB Code:

Line 42:             Dim results() As Object = Me.Invoke("GetQuote", New Object() {symbol})