I've found the solution. And let me share the solution so that it can benefit others.
We have to change the web.config file of the project. Just add these tags in web.config file.
<system.net>
<defaultProxy useDefaultCredentials="true">
<proxy proxyaddress="http://direct.data.com/cmv/cmv.asmx" bypassonlocal="True"/>
</defaultProxy>
</system.net>
And Then create the object of the service reference like this(in .aspx.cs file).
reference_Name.Service_NameSoapClient object_name =
new reference_Name.Service_NameSoapClient();
And then call the web method like this.
object_name.method_name(parameter1,parameter2);
Here I've made the explanation generic by using reference_Name,Service_Name, object_name
These are not keywords :)