If you're using the legacy ASMX web services, then see the example at http://msdn.microsoft.com/en-us/library/system.web.services.protocols.soapextension.aspx. The MSDN link you posted was for web services inside of SQL Server.
John Saunders
WCF is Web Services. They are not two separate things.
Use WCF for All New Web Service Development, instead of legacy ASMX or obsolete WSE
Use File->New Project to create Web Service Projects