Webservice using custom authentication problem with CurrentPrincipal

Hi all

I'm building a distributed VB.NET app using VS2008. I have the following layers:

Presentation (Win32, Web)
Business Logic (Several webservices)
Data Access (DAL Classes, Strongly typed datasets, etc)

It is my understanding that I need to enable session state in my webservice methods, and that I need to set the CurrentPrincipal after correct authentication. After that, the credentials are stored in a cookie that is attached to the requests. The problem is that my system doesn't seem to be storing the Credentials after Login...Could anyone tell me what I'm doing wrong?

Win32 code:

Public Sub Login

        Dim Ws As New SecurityWSSoapClient

        'This runs fine
        Ws.Authenticate(UserName,Password)

        'This shows an empty ...