Like a lot of OS X users on NT or Windows 2000 with ISA Server, I had a problem with authenticating behind a MS Proxy Server. Every time I used Explorer, I had to authenticate my user name and password. On top of that, programs like Software Update, Quicken and Watson could not communicate correctly.
Our IT person found that the Mac was not creating a session with the Proxy Server even though Macs were supposed to be able to communicate as a secured NAT client. However, there is a simple work around that has corrected these problems.
On the Proxy server, allow the leased or static IP address for the Mac to fully "open up" to the proxy. This allows the Mac to communicate directly with the Proxy, thus allowing the Mac to communicate as a secured NAT client. Once this happens, all the programs communicate with the Proxy Server and they no longer have to authenticate with every use. Since we have done this, I have not had to authenticate Explorer.
Thought that this might be of service to someone.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20020517091144965