By way of a blog entry, David Hill explains how you can implement an asynchronous call pattern that allows you to consume Web services from a Windows Forms application without having to worry about threads.
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/dnwinforms/html/SACP_WinForms.asp
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This is exactly something I need for our Client! We consume Web Services from our Server product, and this makes the experience all the more seamless.