I'm not sure which option to pick, but if you right click on the file
in the Solution Explorer and choose Open With...  There is a button to
allow you to set which editor to open with by default.

I have done this with Windows Forms so that it goes to the code editor
when I click on them.  I'm not sure it's possible with .asmx files as
the vb code is in a different file, but maybe there is an option for
it.