Thank you very much! It seems that one need to configure software to use the proxy.

I tried the following:

use strict;
use warnings;

use LWP::UserAgent;
my $ua = LWP::UserAgent->new;
$ua->env_proxy;

my $req = HTTP::Request->new(GET => 'http://www.perlmonks.org');
print $ua->request($req)->as_string;
[download]

This made no connection @work (I am @home now, sorry, cannot reproduce the exact error message). The attempt with $ua->proxy($scheme, $proxy_url) "did not work" either - again, cannot reproduce the exact error message till tomorrow but it did not ask to type in a password or something.

I'll definitely give Win32::IEAutomation a try.

WWW::Selenium requires that Selenium Server is installed - not an option here ...