When I am adding the "Web Reference" we are giving the address to the asmx page to visual studio.
How Can I set this at run time?
Just set the Url property of the object before you call any of the service methods:
YourService service = new YourService();
service.Url = "http://some.other.url/";
// Now you're ready to call your service method
service.SomeUsefulMethod();