ASP.NET Web Service Application project template is not available for .Net framework 4.0, however, available for .Net Framework 3.5.
If you're building your application on .net framework 4.0, You can use WCF Service Application as ASMX in legacy. Please note that you'd need to enable AspNetCompatibilityMode to access HttpContext objects.
If you still want to use ASMX, choose ASP.NET Empty Web application and then you can add ASMX files to the project.