From the http://www.webprogrammingblog.com/geckofx-set-user-agent/:
public Form1()
{
InitializeComponent();
Gecko.Xpcom.Initialize("c:\\tools\\xulrunner");
myBrowser = new GeckoWebBrowser();
myBrowser.Parent = this;
myBrowser.Dock = DockStyle.Fill;
string sUserAgent = "Mozilla/5.0 (Windows; U; Windows NT 6.1; pl; rv:1.9.1) Gecko/20090624 Firefox/3.5 (.NET CLR 3.5.30729)";
Gecko.GeckoPreferences.User["general.useragent.override"] = sUserAgent;
}