Web services CANNOT be written in strait SQL. However most SQL is extensible with other languages, like C++, and Java, most people write web services in .net in my experiance. Web services themselves must be hosted in a webserver of some type..
To interface with a web service you need to be able to make proper API calls to the webservice using http, that is something which can be done in any major lqanguage.
Microsoft Excel, and Microsoft Access have "Data Connection" Wizards which can acomplish this for you. I mention this because MS Access allows you to get it's SQL code out and then you can run it on your SQL server.
SQL server itself offers the ability to read XML as a Database table if you give it the URL to the XML, you can then run queries against it etc.
If your web service exposes the data as an XML, or if you have access to the Web server's back-end to directly load the XML, you can do that in Native MS SQL - probably not other flavors of SQL though.
