I found that ... the problem is the Windows 2003 Server SP2..... thanks all guy
 I am writing a web portal to modify the users account password.

 However, it is confusing me... for a few days for this error.

 It has been work fine while debugging on the development web server, however when i run on the on the IIS (on same computer), it has this error: A specified logon session does not exist. It may already have been terminated.  But if I connect the local computer by supplying the admin username and password, it has this error: "User credentials cannot be used for local connections", is it there no method to connect to local computer if the admin is not logged on? Thanks

 The code to connect the directory service:
         if (ServerName != ".")
         {
             // Remote
             ConnectionOptions c = new ConnectionOptions();
             c.Username = AdminUsername;
             c.Password = AdminPassword;
             c.Impersonation = ImpersonationLevel.Impersonate;
             ms = new ManagementScope("\\\\" + ServerName + "\\root\\cimv2", c);
         }
         else
         {
             // Local
             ms = new ManagementScope("\\\\" + ServerName + "\\root\\cimv2");
         }
         try
         {
             ms.Connect();
             ......
         } catch {
            .......
         }