You have to add similiar code like this ...
//Create an instance of the CredentialCache class.
CredentialCache cache = new CredentialCache();
// Add a NetworkCredential instance to CredentialCache.
// Negotiate for NTLM or Kerberos authentication.
cache.Add( new Uri(myProxy.Url), "Negotiate", new NetworkCredential("UserName", "Password", "Domain"));
//Assign CredentialCache to the Web service Client Proxy(myProxy) Credetials property.
myProxy.Credentials = cache;
or Visual basic.Net
'Create an instance of the CredentialCache class.
Dim cache As CredentialCache = New CredentialCache()
'Add a NetworkCredential instance to CredentialCache.
'Negotiate for NTLM or Kerberos authentication.
cache.Add(New Uri(myProxy.Url), "Negotiate", New NetworkCredential("UserName", "Password", "Domain"))
'Assign CredentialCache to the Web service Client Proxy(myProxy) Credetials property.
myProxy.Credentials = cache
Use System.Net.CredentialCache.DefaultCredentials instead of new NetworkCredential("UserName", "Password", "Domain") if you want to pass the currently logged in user credentials. Make sure you have anonymous access disabled in IIS.