<p>How to create a WCF application without using the svcutil.exe tool?</p>

What version of Visual Studio are you using?
VS2008 incorporates the functionality of the svcutil tool.  To generate the proxy, click on the Solution Explorer and select 'Add Service Reference', you can then enter the URL of the server, give the namespace a name and off you go.
You may want to expand your question to provide some more details of what you are wanting to achieve.