A WCF service is not started as such like a windows service or a windows application. A WCF service merely consists of a class, whose methods are called by the service host to do stuff. If you need to instantiate anything in a service, I would think that you would need to create a constructor for your service class and do the instantiating there(I have never done this, so do not know if this would be considered good practice).
[Edit] I have just done some research and found that you can create a static constructor that only gets called the first time the class is used, something like this
public class MyService : IMyService
{
public MyService()
{ }
static MyService()
{ }
}
that way the stuff you need to do beforehand will only get done once. [\Edit]
Hope this helps