public ConnectEx(WindowsIdentity callerWindowsIdentity, string conStr)
{
    try
    {
        lock (m_b)
        {
			string u1;
			string u2;

            u1 = WindowsIdentity.GetCurrent().Name.ToUpper();
            u2 = callerWindowsIdentity.Name.ToUpper();

            if (callerWindowsIdentity != null)
            {
                m_callerWindowsIdentity = callerWindowsIdentity;
                m_wic = m_callerWindowsIdentity.Impersonate();
            }
            Connection = new SqlConnection(conStr);
            Connection.Open(); //<-----------------------не открывает.
        }
    }
    catch (Exception x)
    {
        mainLogger.MainLogger.ErrorFormat("Error: [{0}], {1}",WindowsIdentity.GetCurrent().Name,  x.Message);
    }
    finally
    {
        if (callerWindowsIdentity != null
            && m_wic != null)
        {
            m_wic.Undo();
            m_wic = null;
        }
    }
}

conStr = "Data Source=SQLSRV\\SQL8R2;Initial Catalog=db12;Integrated Security=True;Pooling=True;Connect Timeout=60;Application Name=\"Service\""

 m_callerWindowsIdentity = callerWindowsIdentity;
 m_wic = m_callerWindowsIdentity.Impersonate();

		_wic = WindowsIdentity.Impersonate(IntPtr.Zero);
                // do logon & impersonate
                if (Win32NativeMethods.LogonUser(userName, domainName, password,
                (int)logonType, (int)logonProvider, ref logonToken) != 0)
                {
                    m_WindowsIdentiy = new WindowsIdentity(logonToken);
                }
                else
                    throw new Win32Exception(Marshal.GetLastWin32Error());