Step 1 – Download and import the wsdl (sorry no steps for this here yet).

Step 2 – Use the following code example

using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Data;

namespace SforceConnection
{
    public class Program
    {
        static void Main(string[] args)
        {
            SforceService service = new SforceService();
            LoginResult loginResult = new LoginResult();
            string username= "youruser@yourdomain.tld";
            string password= "P@sswd!";
            service.Timeout = 60000;
            loginResult  = service.login(username, password);
            service.Url = loginResult.serverUrl;
            service.SessionHeaderValue = new SessionHeader();
            service.SessionHeaderValue.sessionId = loginResult.sessionId;

            // Do something you are now connected

        }
    }
}