Implementing a web service in DNN is very possible and very easy.  All you need to do is create a basic DNN Module solution and then add your web service ASMX file to the solution.  The web service will be installed and then you can call it from another application or site.

If you want to be able to show a link to the web service in your DNN module then you can use the following code:

Private Function BuildWSLinkURL() As Control

Dim oHLink As HyperLink = New HyperLink

oHLink.NavigateUrl = "http://" & DotNetNuke.Common.Globals.GetDomainName(Request) & "/DesktopModules/" & Me.ModuleConfiguration.FriendlyName & "/" & "YourWS.asmx"

Return oHLink

End Function

There are several modules at www.OnyakTech.com that include web services.  Check out the source code if you would like a quick start for your own implementation.