As soon as you are starting with Silverlight 2.0 and try to consume data you will run into the issue that Silverlight is really sandboxed and prevents you from accessing data sources which are located in another domain. To allow Silverlight to access your WCF service or consume a 3rd party web service you need to have the service either use a clientaccesspolicy.xml, a crossdomain.xml file (or both) in the appropriate location.
Making a connection to a service within Visual Studio 2008 is a breeze however getting it to work after deployment can be a challenge but if you follow the guide you will get it to work in no effort at all.
I found a good article (Using silverlight 2.0 clientaccesspolicy.xml vs crossdomain.xml for web service cross domain access) which describes the use and the works of the two files, I recommend to read this to get a better understanding of the use.