Question

I have a WCF service (VS 2010, .Net 4.0) hosted as a Windows service.
What I want to do is this: I want a method which is in the service to be executed when the service is started.

Answer 1

I am not sure how you have used Windows Service to host your WCF service(s) but I would expect something like @SSamra described.

Anyway, below the line wherever you do .Open(); to open your service, you could initialize your wcf proxy and call your method.

Say your proxy is FirstWcfProxy, then you can do something like,

var firstWcfProxy = new FirstWcfProxy(); 
// or IFirstWcfService firstWcfProxy = new FirstWcfProxy();

firstWcfProxy.YourMethod();

EDIT:
If you want to ensure the method is called as soon as the service is started, initialize your proxy below the line sHost.Open(); and invoke the method there, like I described above