SetStateRequest vs just updating the entity in Silverlight

I would like some help with closing a activity. Short and simple =)
I've found a lot of examples with SetStateRequest but can’t get everything to work, and the examples never explain it either... *sigh*
This is a great example: http://www.crmcodex.com/2011/05/silverlight-soap-requests/
This is short a just what I'm looking for, but I can’t get this to work: ”IOrganizationService”. Can’t find this in the SDK either…
Any ideas?