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If you are using both of ASP.NET MVC and ASP.NET Web API in your application, you need to add Abp.Owin nuget package to your host project (generally, to the Web project) and call UseAbp() extension method in your OWIN Startup file as shown below:

[assembly: OwinStartup(typeof(Startup))]
public class Startup
{
    public void Configuration(IAppBuilder app)
    {
        app.UseAbp();

        //your other configuration...
    }
}

If you are only using OWIN (say, in a self hosted Web API project), you can use override of UseAbp which takes a startup module to initialize ABP framework. Notice that; this should be done only if ABP is not initialized in another way.