I have came across to the same error message. After digging for a while, found out that one can supply xsd files in addition to wsdl file. So included/imported .xsd files in addition to .wsdl at the end of the wsdl command as follows:
wsdl.exe myWebService.wsdl myXsd1.xsd myType1.xsd myXsd2.xsd …
Wsdl gave some warnings but it did create an ok service interface.