[DllImport("coredll.dll", CharSet = CharSet.Unicode, SetLastError = true)]
static extern int CredWrite([In]IntPtr pCred, [In]CREDWRITE_FLAGS dwflags);

public enum CREDWRITE_FLAGS : int
{
    CRED_FLAG_FAIL_IF_EXISTING = 0x00000400
}

    public struct CRED
    {
        public int dwVersion;
        public CRED_TYPE dwType;
        [MarshalAs(UnmanagedType.LPWStr)]
        public string wszUser;
        public int dwUserLen;
        [MarshalAs(UnmanagedType.LPWStr)]
        public string wszTarget;
        public int dwTargetLen;
        public IntPtr pBlob;
        public int dwBlobSize;
        public CRED_FLAGS dwFlags;
    }
    public enum CRED_TYPE
    {
        CRED_TYPE_NTLM = 0x00010002,
        CRED_TYPE_KERBEROS = 0x00010004,
        CRED_TYPE_PLAINTEXT_PASSWORD = 0x00010006,
        CRED_TYPE_CERTIFICATE = 0x00010008,
        CRED_TYPE_GENERIC = 0x0001000a,
        CRED_TYPE_DOMAIN_PASSWORD = 0x00010001,
    }
    public enum CRED_FLAGS : int
    {
        CRED_FLAG_PERSIST = 0x00000001,
        CRED_FLAG_DEFAULT = 0x00000002,
        CRED_FLAG_SENSITIVE = 0x00000008,
        CRED_FLAG_TRUSTED = 0x00000010
    }

public static void WriteCredentials(string target, string userName, string password)
{
    CRED cred = new CRED();
    cred.dwVersion = 1;
    cred.dwType = CRED_TYPE.CRED_TYPE_NTLM;
    cred.wszTarget = target;
    cred.dwTargetLen = target.Length + 1;
    cred.wszUser = userName;
    cred.dwUserLen = userName.Length + 1;

    cred.dwBlobSize = (Encoding.Unicode.GetBytes(password).Length + 1) * 2;
    //cred.pBlob = Marshal.StringToCoTaskMemUni(password); //<--not in CF
    //cred.pBlob = Marshal2.StringToHGlobalUni(password); //<--from OpenNETCF, the same?
    cred.pBlob = Marshal.StringToBSTR(password); //<--not sure of that, but tried the other one also
    cred.dwFlags = CRED_FLAGS.CRED_FLAG_PERSIST | CRED_FLAGS.CRED_FLAG_SENSITIVE | CRED_FLAGS.CRED_FLAG_TRUSTED; //<-- results in 25 which is also used in creds read which are stored by the IE-UI-CredMan-dialog

    IntPtr credPtr = Marshal.AllocHGlobal(Marshal.SizeOf(cred));
    Marshal.StructureToPtr(cred, credPtr, true);

    int ret = -1;
    ret = CredWrite(credPtr, CREDWRITE_FLAGS.CRED_FLAG_FAIL_IF_EXISTING); //returns zero, unless called twice with the same target/username-tuple.

    Marshal.FreeHGlobal(credPtr);
}