HTTP request forbidden with client authentication scheme 'Anonymous'

Question

I am trying to access a web service from a C# application.

I have been given a client certificate from the web service provider which I have installed into Windows.

The response I get from the web service is:

The HTTP request was forbidden with client authentication scheme 'Anonymous'.

What is the likely reason for this response?

Is it because my client certificate is not "trusted" by the server hosting the web service?