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Proxy authentication beyond the 'Basic' authentication scheme (where passwords are passed in plain text) is apparently very complicated. There are 4 authentication schemes that you really need to support if you want to plug into all proxy servers -- Basic, Digest, NTLM (Microsoft specific), and then there are Custom schemes).
The folks at Apache have done what appears to be an excellent job of implementing all of this support for you in their 'HTTPClient' package. Unfortunately, the core class in this package, namely HttpClient, is geared towards novice programmers and it has a bunch of methods to send/receive socket data. Most people will have their own communication layer. Therefore, the best thing to do is plug into the lower-level classes in this Apache project to get your proxy authentication and login done.