The answer is yes (koosk and marc_s have good answers) - however the reason for the examples being the way they are deserves a brief comment.
If you look at the examples you will probably see (at least) two projects, one for the sample service and one for the sample app that consumes it, in theory you could pull the projects into separate solutions, fire the service up and then the consuming app and it will still work (in theory because you'd need to get the right dependencies into both projects).
The reason to have both client and service in the same solution is because it enables visual studio to get smart about helping you with your debugging, when you start the client it will automagically start the service for you and you should then be able to step from the client into the service if required.
Its worth remembering that a solution can contain any number of notionally distinct applications as well as the libraries etc required to support those applications, its just a wrapper - an application (service or client in this case) is just another project in the solution.