using System.Web.Services.Protocols;

public class SoapAuthHeader : SoapHeader
{
public string Username;
public string Password;
}

public class MyWebServicesProxy : System.Web.Services.Protocols.SoapHttpClientProtocol {

    public SoapAuthHeader AuthHeader;

    ...

}

SoapAuthHeader authHeader = new SoapAuthHeader();
authHeader.Username = "username";
authHeader.Password = "password";

MyWebServicesProxy myProxy = new MyWebServicesProxy();
myProxy.AuthHeader = authHeader;