Proxy keeps requesting authentication

I can not figure out why I keep getting a message on my client that reads “your HTTP proxy requires user authentication. Please enter the appropriate user name and (nothing after this)

Proxy Address: (box)//proxy
User Name: (box) MyUsername
Password: (box) MyPassword

Then either OK or Cancel

Whether I click OK or Cancel, it doesn’t matter, the message gos away and then comes back periodically. It does the same if I type in my Username and Password. How do I get this to go away?