>>I am invoking method of webservice through windows application
asynchronosuly.
that is the answer to your question.
As web service is stateless once client started that method will that
method cause any problem if client application is close.
No. In normal cases this should not cause a problem in an async call.
And one more thing is as this web method is long running sometimes it
suddently stops without completed its exeuction.
look at the error logs for any exceptions or problems faced by the
service method. If possible, you could show a copy of the error log
with your problem, might be able to help further.