var connection = new SqlConnection(connectionString);
connection.StateChange += delegate(Object sender, StateChangeEventArgs e)
{
      if (e.CurrentState == ConnectionState.Open)
      {
            SetContext(connection);
      }
};
connection.Open();

        public static void SetContext(IDbConnection connection)
        {
            const string COMMAND_TEXT = @"DECLARE @Var nvarchar(max), @BinVar varbinary(max) " +
                                        @"SET @Var = CAST('<' + '{0}' + '>' + '{1}' AS nvarchar(256)) " +
                                        @"SET @BinVar = convert(varbinary(max), @Var) " +
                                        @"SET CONTEXT_INFO @BinVar";

            var windowsIdentity = WindowsIdentity.GetCurrent();
            var user = LoginUser;
            var context = user != null ? user.id : (long?)null;

            var cmd = connection.CreateCommand();
            cmd.CommandText = String.Format(COMMAND_TEXT, context.HasValue ? context.Value.ToString() : string.Empty, windowsIdentity != null ? windowsIdentity.Name : string.Empty);

            cmd.ExecuteNonQuery();
        }

DECLARE
	@Var nvarchar(max),
	@BinVar varbinary(max)

SET @Var = CAST('<' + '0' + '>' + 'SmthUser' AS nvarchar(256))
SET @BinVar = convert(varbinary(max), @Var)
SET CONTEXT_INFO @BinVar