Use System.IO.File.WriteAllBytes
the following exmpl shows how to receive and save a file returned by a web method called GetLargeFile in a web service called MyService by using a WSE proxy obj called MyServicewse
//get data
byte[] fileData= MyServiceWse.GetLargeFile();
// save data
system.IO.File.WriteAllBytes(@"C:\LargeFile.jpg", fileData);