It really depends on several factors.
1) Whether is it a browser or full-client form
2) What type of authentication does the web service use? Windows Authentication, Forms authentication, WS-Security ?
For browser forms, you will need to use SSO (SharePoint2007) or the Secure Store Service in SharePoint 2010 to store credentials for the webservice. The UDCX file schema has an authentication node which supports Sql,Ntlm,Kerberos,CD,Basic and Digest. (http://msdn.microsoft.com/en-us/library/dd945653(v=office.12).aspx)
From a full-client form, a credential prompt will occur depending on the zone settings and the authentication method. Local Intranet will usually attempt to pass your logged on user credentials. But if the web service uses forms authentication, you will not get prompted. It will require having first logged onto the Forms authentication site from IE and cached the connection cookie.