If you are using CRM 4.0 then here is a sample Java Code:
private void setupSecurity( final CrmServiceSoap crmServiceSoap ) {
//Turn off chunking so that NTLM can occur
Client client = ClientProxy.getClient( crmServiceSoap );
HTTPConduit http = (HTTPConduit)client.getConduit();
HTTPClientPolicy httpClientPolicy = new HTTPClientPolicy();
httpClientPolicy.setConnectionTimeout( 36000 );
httpClientPolicy.setAllowChunking( false );
http.setClient( httpClientPolicy );
AuthorizationPolicy authorization = new AuthorizationPolicy();
authorization.setUserName( _userName );
authorization.setPassword( _password );
http.setAuthorization( authorization );
}