How to improve our webservice

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C#2.0

C#

C#3.5

webservice

Hi all, i wanna ask you about how to improve our web service.
I will explain its process :
When some message came from some client (these messages are different to each other), these messages will be checked first.. After these message has checked, these messages will be parsed based on type (format message in xml). After these messages has validated, system create "Ack Message" and insert data to database. Just as a notice, validating data using two databases that are difference (request by our client..huuhhfftt X| ), and i have made some thread in validation.
Can you give me explanation how to improve this app..?? Or may be i have had two databases for validating data so make it more slowly.. ?? :~