You use the Headers
property with a string index:
request.Headers["X-My-Custom-Header"] = "the-value";
According to MSDN, this has been available since:
- Universal Windows Platform 4.5
- .NET Framework 1.1
- Portable Class Library
- Silverlight 2.0
- Windows Phone Silverlight 7.0
- Windows Phone 8.1
https://msdn.microsoft.com/en-us/library/system.net.httpwebrequest.headers(v=vs.110).aspx