AdWords API timeout exception

I need to post web service requests in my software from time to time.
should I somehow close the connection after each request?

Im behind a firewall and the first request behaves ok.
but if the 2nd request is being made after abit long pause I get
exception:

"The underlying connection was closed: A connection that was expected
to be kept alive was closed by the server"

then the 3rd request again behaves ok.

for my software - I dont need to keep the connection alive, or any
timeout requirements,
I just dont want to get this exception.

thanks