"The request failed with HTTP status 401: Unauthorized. " error

I'm new to Dynamics CRM web service client develop, my customer has a sandbox for developing, I can login with user name and password in IE, but when I use the asp.net program, it will show "The request failed with HTTP status 401: Unauthorized.".

I have debuged the asp.net program (written by other guys), it's works when create CrmService object, but when call addLead function, it will throw an exception that says "The request failed with HTTP status 401: Unauthorized." and the program is end.

How can I access the server in asp.net program? Is there any settings need do in the Dynamics system? (I cannot access the sandbox).

Thanks.

Daniel