Double Authentication with IExplore 6

Hi All,
We’ve just implemented an upstream proxy server that I believe is Unix Based.

Whenever our users attempt to browse the net and go outside of our LAN/WAN, they are prompted for authentication on the proxy server. We are encouraging users to use the same password for proxy authentication as their network logon (practicality is the issue here.) Internet Explorer gives the option of remember my password, but this is still an inconvenience. Is there any rule that we can use to say for proxy.abcdomain.com use USERNAME X and PASSWORD X…ie. Use Windows Authentication like you would with SQL???

Cheers and Happy Easter.
Ian