Updated August 13, 2006 to reflect Sander's comment.

On my old blog (in Dutch) I commented that I thought the WindowsImpersonationContext was clumsy and I wrote a replacement that you can use as follows:

Console.WriteLine("Current user: " + WindowsIdentity.GetCurrent().Name);
WrapperImpersonationContext context = new WrapperImpersonationContext(domain, username, password);
context.Enter();
// Execute code under other uses context
Console.WriteLine("Current user: " + WindowsIdentity.GetCurrent().Name);
context.Leave();
Console.WriteLine("Current user: " + WindowsIdentity.GetCurrent().Name);

Recently a visitor noted that the code wasn't quite right (missng a few using statements, and I found some other small issues. The correct code (including namespace references) is below. It takes care of all that nasty calls into the Win32 API. The one thing you need to be aware of is that it requires permissions to call into a DLL (i.e. run unsafe code), which is why I added the attributes that indicate this. Unfortunately that renders this class useless in a hosted environment, unless you strong sign the assembly and pursuade the host to allow your assembly to run in Full or High trust. This however is a problem you will run into regardless your use of this class. As soon as you call LogonUser you need at least High trust. If this is something that should be possible under lower trust by default it's up to the folks in Redmond to add this functionality to .NET and handle it as such.

using System;
using System.Runtime.InteropServices;
using System.Security.Principal;
using System.Security.Permissions;
using System.ComponentModel;

public class WrapperImpersonationContext
{
   [DllImport("advapi32.dll", SetLastError = true)]
   public static extern bool LogonUser(String lpszUsername, String lpszDomain,
   String lpszPassword, int dwLogonType, int dwLogonProvider, ref IntPtr phToken);

   [DllImport("kernel32.dll", CharSet = CharSet.Auto)]
   public extern static bool CloseHandle(IntPtr handle);

   private const int LOGON32_PROVIDER_DEFAULT = 0;
   private const int LOGON32_LOGON_INTERACTIVE = 2;

   private string m_Domain;
   private string m_Password;
   private string m_Username;
   private IntPtr m_Token;

   private WindowsImpersonationContext m_Context = null;

   protected bool IsInContext
   {
      get { return m_Context != null; }
   }

   public WrapperImpersonationContext(string domain, string username, string password)
   {
      m_Domain = domain;
      m_Username = username;
      m_Password = password;
   }

   [PermissionSetAttribute(SecurityAction.Demand, Name = "FullTrust")]
   public void Enter()
   {
      if (this.IsInContext) return;
      m_Token = new IntPtr(0);
      try
      {
         m_Token = IntPtr.Zero;
         bool logonSuccessfull = LogonUser(
            m_Username,
            m_Domain,
            m_Password,
            LOGON32_LOGON_INTERACTIVE,
            LOGON32_PROVIDER_DEFAULT,
            ref m_Token);
         if (logonSuccessfull == false)
         {
            int error = Marshal.GetLastWin32Error();
            throw new Win32Exception(error);
         }
         WindowsIdentity identity = new WindowsIdentity(m_Token);
         m_Context = identity.Impersonate();
      }
      catch (Exception exception)
      {
         // Catch exceptions here
      }
   }

   [PermissionSetAttribute(SecurityAction.Demand, Name = "FullTrust")]
   public void Leave()
   {
       if (this.IsInContext == false) return;
       m_Context.Undo();

       if (m_Token != IntPtr.Zero) CloseHandle(m_Token);
       m_Context = null;
   }
}