If you are using the .NET Framework 1.0, this cannot be done. However, in the 1.1 version, the MailMessage.Fields property was added. This allowed access to the underlying CDO.Message fields.

The following example demonstrates sending your username and password to the SMTP server to provide authentication.
 
[ C# ]

private void Page_Load(object sender, System.EventArgs e)
{
	MailMessage mail = new MailMessage();
	mail.To = "me@mycompany.com";
	mail.From = "you@yourcompany.com";
	mail.Subject = "this is a test email.";
	mail.Body = "Some text goes here";
	mail.Fields.Add("http://schemas.microsoft.com/cdo/configuration/smtpauthenticate", "1");	//basic authentication
	mail.Fields.Add("http://schemas.microsoft.com/cdo/configuration/sendusername", "my_username_here"); //set your username here
	mail.Fields.Add("http://schemas.microsoft.com/cdo/configuration/sendpassword", "super_secret");	//set your password here

	SmtpMail.SmtpServer = "mail.mycompany.com";  //your real server goes here
	SmtpMail.Send( mail );
}

[ VB.NET ]

Private Sub Page_Load(sender As Object, e As System.EventArgs)
   Dim mail As New MailMessage()
   mail.To = "me@mycompany.com"
   mail.From = "you@yourcompany.com"
   mail.Subject = "this is a test email."
   mail.Body = "Some text goes here"
   mail.Fields.Add("http://schemas.microsoft.com/cdo/configuration/smtpauthenticate", "1") 'basic authentication
   mail.Fields.Add("http://schemas.microsoft.com/cdo/configuration/sendusername", "my_username_here") 'set your username here
   mail.Fields.Add("http://schemas.microsoft.com/cdo/configuration/sendpassword", "super_secret") 'set your password here
   SmtpMail.SmtpServer = "mail.mycompany.com" 'your real server goes here
   SmtpMail.Send(mail)
End Sub 'Page_Load