>From MSDN, quoted at
http://www.dotnet247.com/247reference/msgs/26/134925.aspx

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For the LDAP provider, the user account must have been created and
stored in the underlying directory using IADs::SetInfo before
IADsUser::SetPassword is called.

The WinNT provider, however, allows you to set the password on a newly
created user object prior to calling SetInfo