The server committed a protocol violation. Section=ResponseHeader Detail=CR must be followed by LF, In WinForms?
First, adding an app.config file is just as easy as adding any other file, How to: Add an Application Configuration File to a C# Project
Then you just have to add that code snippet above to that new app.config.
Another way of setting that property via code, avoiding the need for an app.config is shown here or here.
Your problem might not require any app.config changes (and in my case, this configuration change made no difference). I would try modifying your Accept: header, as suggested in this link.
In my case, I create an HttpWebRequest directly, so my solution was to add the following:
request.Accept = "text/html, application/xhtml+xml, */*"