In my WebService I have a method called Download() that creates a dataset.
To get my connection string which is located in my web.config file I call
the following

imports System.Web.HttpServerUtility

Dim strConnectionString As String
strConnectionString =
ConfigurationSettings.AppSettings("MyConnectionString")

it tells me that "ConfigurationSettings" is not declared.

This is the same code that I use in an asp.net app and it works fine there.