public class DynatracePurePathHeaderAppender : IClientMessageInspector, IEndpointBehavior
 {
  object IClientMessageInspector.BeforeSendRequest(ref Message request, IClientChannel channel)
  {
   var dynaHeader = MessageHeader.CreateHeader("Action", "ns.yellowbook.jeff", "dynatrace",false);
   request.Headers.Add(dynaHeader);
   return null;
  }

  void IClientMessageInspector.AfterReceiveReply(ref Message reply, object correlationState)
  {
   return;
  }

  public void Validate(ServiceEndpoint endpoint){}

  public void AddBindingParameters(ServiceEndpoint endpoint, BindingParameterCollection bindingParameters){}

  public void ApplyDispatchBehavior(ServiceEndpoint endpoint, EndpointDispatcher endpointDispatcher){}

  public void ApplyClientBehavior(ServiceEndpoint endpoint, ClientRuntime clientRuntime)
  {
   clientRuntime.MessageInspectors.Add(this);
  }
 }

public class DynatracePurePathHeaderAppenderElement : BehaviorExtensionElement
 {
  protected override object CreateBehavior()
  {
   return new DynatracePurePathHeaderAppender();
  }

  public override Type BehaviorType
  {
   get { return typeof(DynatracePurePathHeaderAppender); }
  }
 }

HttpRequestMessageProperty hrmp = new HttpRequestMessageProperty();
//Set hrmp.Headers, then:
request.Properties.Add(HttpRequestMessageProperty.Name, hrmp);

var httpHeader = reply.Properties["httpResponse"] as HttpResponseMessageProperty;

httpHeader.Headers.Add("my Custom Header", "My Value");

Public Class AuthenticationHeader
  Implements IClientMessageInspector

Private itsUser As String
Private itsPass As String

Public Sub New(ByVal user As String, ByVal pass As String)
    itsUser = user
    itsPass = pass
End Sub

Public Sub AfterReceiveReply(ByRef reply As Message, correlationState As Object) Implements IClientMessageInspector.AfterReceiveReply
    Console.WriteLine("Received the following reply: '{0}'", reply.ToString())
End Sub

Public Function BeforeSendRequest(ByRef request As Message, channel As IClientChannel) As Object Implements IClientMessageInspector.BeforeSendRequest
    Dim hrmp As HttpRequestMessageProperty = request.Properties("httpRequest")
    Dim encoded As String = System.Convert.ToBase64String(System.Text.Encoding.GetEncoding("ISO-8859-1").GetBytes(itsUser + ":" + itsPass))
    hrmp.Headers.Add("Authorization", "Basic " + encoded)
    Return request
  End Function
End Class

Public Class AuthenticationHeaderBehavior
Implements IEndpointBehavior

Private ReadOnly itsUser As String
Private ReadOnly itsPass As String

Public Sub New(ByVal user As String, ByVal pass As String)
    MyBase.New()
    itsUser = user
    itsPass = pass
End Sub

Public Sub AddBindingParameters(endpoint As ServiceEndpoint, bindingParameters As BindingParameterCollection) Implements IEndpointBehavior.AddBindingParameters
End Sub

Public Sub ApplyClientBehavior(endpoint As ServiceEndpoint, clientRuntime As ClientRuntime) Implements IEndpointBehavior.ApplyClientBehavior
    clientRuntime.MessageInspectors.Add(New AuthenticationHeader(itsUser, itsPass))
End Sub

Public Sub ApplyDispatchBehavior(endpoint As ServiceEndpoint, endpointDispatcher As EndpointDispatcher) Implements IEndpointBehavior.ApplyDispatchBehavior
End Sub

Public Sub Validate(endpoint As ServiceEndpoint) Implements IEndpointBehavior.Validate
End Sub
End Class

Dim binding As New WebHttpBinding(WebHttpSecurityMode.Transport)
  binding.Security.Transport.ClientCredentialType = HttpClientCredentialType.None

  ChlFactory = New WebChannelFactory(Of IMyServiceContract)(binding, New Uri(url))
  ChlFactory.Endpoint.Behaviors.Add(New WebHttpBehavior())
  ChlFactory.Endpoint.Behaviors.Add(New AuthenticationHeaderBehavior(user, pass))
  Channel = ChlFactory.CreateChannel()