Part 1: http://www.dotnetspider.com/technology/kbpages/19.aspx

and

Part 2: http://www.dotnetspider.com/technology/kbpages/58.aspx

The Web Service toolkit from MS now only includes the setup.exe.  Run this, and then go into excel.  There isn't really setup screens.  The rest of these articles are awesome.  You can basically even just cut and paste and the sucker will run.