1516573 - constructor exception (Error: WSE 99999) when creating session object using the .NET Web Services SDK

Code

Session boSession;
boSession = new Session (oConnection);

Exception

BusinessObjects.DSWS.DSWSException was unhandled by user code
  Message="constructor exception (Error: WSE 99999)"
  Source="DSWS Web Service Consumer"
  CallStackTrace="   at BusinessObjects.DSWS.Session.Session.CreateStub()\r\n   at BusinessObjects.DSWS.Consumer..ctor(Connection objConnection, ConnectionState objConnectionState, String strWebServiceMethod)"
  CauseException="FileNotFoundException"
  CauseMessage="Could not load file or assembly 'Microsoft.Web.Services3, Version=3.0.0.0, Culture=neutral, PublicKeyToken=31bf3856ad364e35' or one of its dependencies. The system cannot find the file specified."
  ID="http://session.dsws.businessobjects.com/2007/06/01/constructor"
  Operation="http://session.dsws.businessobjects.com/2007/06/01/constructor"
  WebServiceID=""
  StackTrace:
       at BusinessObjects.DSWS.Consumer..ctor(Connection objConnection, ConnectionState objConnectionState, String strWebServiceMethod)
       at BusinessObjects.DSWS.Session.Session..ctor(Connection connection)
       at _Default.GetSerializedSession(String userName, String password, String cms, String authType) in c:\Inetpub\wwwroot\myWebServicesApp\Default.aspx.cs:line 56
       at _Default.Button_Logon_Click(Object sender, EventArgs e) in c:\Inetpub\wwwroot\myWebServicesApp\Default.aspx.cs:line 28
       at System.Web.UI.WebControls.Button.OnClick(EventArgs e)
       at System.Web.UI.WebControls.Button.RaisePostBackEvent(String eventArgument)
       at System.Web.UI.WebControls.Button.System.Web.UI.IPostBackEventHandler.RaisePostBackEvent(String eventArgument)
       at System.Web.UI.Page.RaisePostBackEvent(IPostBackEventHandler sourceControl, String eventArgument)
       at System.Web.UI.Page.RaisePostBackEvent(NameValueCollection postData)
       at System.Web.UI.Page.ProcessRequestMain(Boolean includeStagesBeforeAsyncPoint, Boolean includeStagesAfterAsyncPoint)
  InnerException: