Web Service has its characteristic of statelessness. But, many applications on Grid need the stateful services. The advanced search on HVEM DataGrid is one example. The search service provides a multi-depth search and an associated search. The service should trace the search states and provide the access control as well as the service security in the search process. In addition, we should remember that the Web Services or the resources can stretch multiple Virtual Organization(VO)s and Certificate Authority(CA)s. In this paper, we propose a secure stateful Web Service to satisfy the requirements stated. We describe the Stateful Web Service with the Scalable Security (S3WS) as its service environment and its protocol in detail. Through the security proof, the scalability analysis and the estimation of performance and overhead, we demonstrate the stateful Web Service proposed to be secure and light weight enough to be realistic.