I got it to work. Here's how:
I downloaded the soap4r package from here:
http://dev.ctor.org/download/soap4r-1_5_5.tar.gz
I couldn't find a Windows installation, but I was able to unzip this
file using Winzip (the built-in Windows unzip doesn't recognize the tar
file).
This unzips to a soap4r-1_5_5 folder, which I moved to c:\ruby.
I then ran the wsdl2ruby.rb file that's in the bin directory of this
package, like this:
ruby C:\ruby\soap4r-1_5_5\bin\wsdl2ruby.rb --wsdl
http://www.xmlme.com/WSShakespeare.asmx?WSDL --type client --force
This will create the default.rb, defaultDriver.rb, and
ShakespeareClient.rb files in the C:\ directory.
When you run it, it does display messages such as "creating class
definition", so if it just pauses when you run it, then it's probably
not doing anything. That's what happened to me when I ran the
wsdl2ruby.rb from the C:\ruby\lib\ruby\1.8\soap directory.
Hope this helps anyone else with the same problem.