Mentioning below step by step guide with screen shots to connect .NET console application with Salesforce.
https://cloudvista.wordpress.com/2015/07/21/connecting-net-console-application-to-salesforce-via-enterprise-wsdl/
Generally the issue is in adding service reference.It you're unsure, try deleting the reference and adding it again.
If it is added succesfully, you'll get screen like this:

Also note while adding reference, you've to follow path like this in Visual Studio :
Project Name | Right click 'Add' | Service referece | Advanced | Add Web Reference
This will land you screen like above screen shot.
Revert in case of any further doubt.