Finally found the solution. I manage how to add cookies to the request. On the client I did:
Note I am using a cookie aware webclient from: Using CookieContainer with WebClient class
var cookieAwareWebClient= //.... authenticate
var db = new ServiceReference.MyEntities(new Uri("MyDomain/WcfDataService.svc"));
db.SendingRequest += ( s, arg) =>
{
HttpWebRequest httpRequest = arg.Request as HttpWebRequest;
httpRequest.CookieContainer = cookieAwareWebClient.CookieContainer; // I made that property public
};
var myUsers = db.Users.ToList();