I think the credentials part was working, it was the proxy part that I was missing. Thanks though.
As for the "circumventing company security policy" I appreciate the concern but I have read our AUP many times (to make sure the many things i do that most users don't do are OK) and there's nothing against doing this sort of thing. Every web access is logged with my machine name anyways, this wouldn't circumvent that. I have used that news alert program for 2 years, which has presumably generated 288 requests a day (one every 5 minutes) including Saturdays and Sundays and I have never heard anything about it. So I'm not going to be worried about the odd additional request. Obviously, as idnopheq says i had better be careful about what i'm accessing, but that applies in general.