Another option, if running *nix, would be to set the proxy environment.  

For a Debian box behind an MS proxy, add the following to $home/.bashrc and/or $home/.bash_profile as appropriate.

export http_proxy="http://NTdomain\user:password@proxy.DNSdomain:portn
+umber"
[download]

Thanks to tilly for showing me this a while back.   Well, the "export http_proxy" part anyway, not the MSproxy-specific syntax.

Update: I think this will eliminate the need to config lynx, wget, etc. separately.
    cheers,
    Don
    striving for Perl Adept
    (it's pronounced "why-bick")