My scenario:

• My network has a proxy that requires interative authentication. When I access any URL, an username and password is requested to enable navigation.
• I do have a valid username/password (this means I have permissions to access external content).
• I do not have access to the proxy server (any change to the proxy server is not an option).

What I need:

• I need to bypass the interative authentication process and make it an automated authentication process.

What I do NOT need/want:

• I do not need/want to hack the network.
• I do not need/want to access unauthorized content.
• In other words, I just need to find a way to "save" my password in the computer (security is not a problem) to allow application that does not support this kind of interative authentication to access the internet (like non-browser software that also uses HTTP port).

My guess:

• My guess is to develop a new proxy server that will run in the local machine (eg, a proxy for the network proxy). This proxy server will access my network proxy, authenticate and forward the content.
• Of course this is a last resort. I prefer to not need to develop a proxy server.

Does someone know other solution? (any operating system)