Unfortunately this feature although supported in .NET Framework 3.5, 3.0, 2.0, it is not supported on the Windows CE platform unlike the WebRequest Class in System.Net.
Platforms
Windows Vista, Windows XP SP2, Windows XP Media Center Edition, Windows XP Professional x64 Edition, Windows XP Starter Edition, Windows Server 2003, Windows Server 2000 SP4, Windows Millennium Edition, Windows 98
The .NET Framework and .NET Compact Framework do not support all versions of every platform. For a list of the supported versions, see .NET Framework System Requirements.
Version Information
.NET Framework
Supported in: 3.5, 3.0, 2.0