The newer LWP::UserAgent modules accept an http_proxy in the form http://username:password@server:port/ . You can, for instance, set $ENV{HTTP_PROXY} to a string of that form and then use LWP::Simple, etc.

If you have a Microsoft proxy server that you are going through, you will have to indicate your domain as well, so the format will be http://domain\username:password@server:port/ (careful with quoting of the backslash).