You use an *.asmx file to create an ASP.NET Web Service. This file contains your service implementation and is needed for hosting the service.
ASP.NET automatically generates the WSDL or "service description" for your service by reflecting over the types in your service. You can see the WSDL for your service by browsing to your ASMX file, which should show you a help page for your service containing a link to the service description for the service. The WSDL can also generally be reached by appending "?wsdl" to the address of the asmx file.