Guillaume,

   You could derive a class from the proxy type and call the protected
GetWebResponse method on the class.  Of course, you probably have to set up
the call, which might be no small task.

   If you are doing it just to see what the messages are like (and for
actual programming purposeses) I would suggest getting an HTTP sniffer of
some kind (Fiddler is free, and pretty easy to use) which will allow you to
see the messages as they travel back and forth between your code and the
service (you basically set your code to use Fiddler as a proxy).

   If you need to perform processing on the message level, then I recommend
that you use WCF and type the return value of the method on the contract as
Message, which will give you access to the actual message yourself, which
you can process any way you wish.

Sniffing the puters in is a thougth...
//CY

The convenient way to do this is through the use of a SoapExtension class.
This is a class that "inserts itself" into the processing chain, can do
whatever it needs to do with the SOAP message (in either direction) and then
passes control down the chain to complete the call.  You can find plenty of
good sample code by googling "soapextension".
-- Peter
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Take a look at
http://msdn2.microsoft.com/en-us/library/ms176041.aspx .
I used it and found it to be very helpful.
Ethan