I am trying to create a web service client in Java. I am not aware of how to do it. This is a URL for WSDL: https://testservices.gatewayedi.com/PayerList/payerlist.asmx?wsdl
EDIT: As Pascal appears to have recent experience on this, it's probably worth reading his comment:
Nowadays, I wouldn't use Axis (I actually recommend against using it). Apache CXF or JAX-WS RI (which is included in Java 6 and offers wsimport and wsgen command line commands) are IMO much better stacks and easier to use.
So, look at the Apache CXF documentation and the introduction to JAX-WS.
Original answer
Have you tried using Apache Axis? It's a while since I've done any Java web services, but that was what I used last time... You'll want to look at WSDL2Java to generate code from the WSDL.