Fail to add remote web service

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I created a small web service on local pc, and it can be accessed by both Window form & another app. Then I copied the web service to the DMZ network. I also created a client app, and try to add web reference to this web service. I can see the web method, but getting errors like:

There was an error downloading 'http://xxx_IP/PI/PIService.asmx'. The underlying connection was closed: Unable to connect to the remote server.

Have searched the web, and couln't find a suitable solution for this. Any ideas would be much appreciated!
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