A right panorama to understand how consume W** services from the client application
http://www.codeproject.com/Articles/38999/Consuming-ASP-net-WebServices-WCF-Services-and-sta.aspx
This post, make me save more more more time
http://www.sharethispoint.com/archive/2007/02/28/Using-a-SPGridView-inside-an-ASP.net-Ajax-UpdatePanel.aspx