That simply isn't a SOAP Web Service. It's a REST XML service. REST services do not provide self-describing meta data in the form of WSDL.
You need another way of communicating with the service. If there isn't a C# wrapper available, you will probably have to write the url generator yourself, and have the .NET Framework deserialize the xml documents for you into nicely written classes (that you, also, write yourself).
Try reading more at: Oddle Developer Center
EDIT:
Also, if you are downloading the XML document from within a web application, there are a couple of things you need to consider.
When you are developing, make sure you are running Visual Studio as an Administrator.
When you deploy to your hosting provider, make sure you are not running Medium Trust, because that might stop you from accessing external web sources.
But still, I can't figure out why the Add Web Reference dialog can't connect to the oodle web server. Check your network settings, your firewall settings and so on. If you are able to visit the URL in your web browser, you should be able to download the document through code.