You might put in the contents of your "MyConfig.pm" file, but to try to give you some hints.

I have( just listing the proxy parts):

  'ftp_passive' => q[1],
  'ftp_proxy' => q[http://web-proxy.(myproxy):port],  << insert your o
+wn
  'http_proxy' => q[http://web-proxy.(myproxy):port],
  'no_proxy' => q[localhost, 127.0.0.1],
  'proxy_user' => q[],
  'urllist' => [q[http://mirrors.kernel.org/CPAN], q[/http://cpan.deve
+looper.com/], q[http://httpupdate27.cpanel.net/CPAN], q[http://www.pe
+rl.com/CPAN/], q[http://www.cpan.org/]],
[download]

I seem to remember running into something like this, but it was related to it not talking correctly through the proxy -- and the error message which said to check proxy user+passwd was misleading (had nothing to do with that -- was something else in my config, but it's been so long, don't remember the exact cause).

Hope this helps...