After goggling I found that I need to add a .NET reference to "System.Web.dll" because I am making a Windows Application.
But unfortunately I could not find where is the "System.Web.dll" ? Its not available in the .NET references . :(
Finally figure out why is that! Yeah its because, I have targeted the Windows application to .NET framework4.0
But that's no an excuse I know;
Meanwhile I did further investigation of why it was not showing in the add reference tab of 4.0 project.
Yeah I got the issue, this is because, by default the project created in Framework 4.0 is defaulted to the profile.
Open the project properties and you can see it as shown below.
Once you have done this, you can go and add the reference to System.Web
Hope this helps!!!