HttpHandlers / Modules :: Adding HTTP Request Header - Operation Not Supported?

I am trying to call a webservice that requires me to authenticate and then pass the session id returned from the authenticate method to subsequent web service calls. The session id has to be passed as HTTP request header. So I tried using the following code to add the session id to a HTTP request header:

System.Collections.Specialized.NameValueCollection headers =
HttpContext.Current.Request.Headers;
Type t = headers.GetType();
//get the property
System.Reflection.PropertyInfo p = t.GetProperty("IsReadOnly",System.Reflection.BindingFlags.Instance
| System.Reflection.BindingFlags.IgnoreCase | System.Reflection.BindingFlags.NonPublic
| System.Reflection.BindingFlags.FlattenHierarchy);
//unset readonly
p.SetValue(headers, false,
null);
//add a header
headers.Add("Cookie",
"SID=" + sessionId );

The header is supposed to be called "Cookie" and the SID contains the session id. The problem is the last line in the code above gives an exception saying "Operation is not supported on this platform". I am running this code on my dev machine with with Windows XP Professional Service Pack 3 and IIS 5.1. I haven't been able to find any solution to this problem after days of searching. I also tried to deploy my web app on IIS directly but had the same error.