connect to SOAP web service

HI! 
I want to use EconomicWebService, and i tried a connection with Connect method.  I always get this error:

{"Economic.Api.Exceptions.AuthenticationException(E02250): Not logged in - could not resolve authenticationContext. This may be caused by invalid session cookie header. Read more at: https://www.e-conomic.com/developer/about-the-soap-api. (id=6bf6cc62-3c36-438f-adfc-ce5201f68410)"}.

I don't know how to set that header , or what should it contain.

Does anybody have an example of a valid connection?

Thanks!