You could, but I think it'd be better to do whatever you are planning to do in the PreRequestHandlerExecute
event as you'll have the web service object instance created by asp.net already. Just remember that this event is fired for all types of handlers (pages, web services, generic, etc).
If you do want to go this route on your own, then you'd just need to do Activator.CreateInstance(type) where type is the web service type.