Generate proxy class with Proxy authentication
C:\Program Files\Microsoft Visual Studio 9.0\VC> WSDL /proxyusername:USERNAME /proxypassword:PASSWORD /proxydomain:DOMAINNAME WSDLURL
Generate proxy class without Proxy authentication
C:\Program Files\Microsoft Visual Studio 9.0\VC> WSDL WSDLURL
Proxy authentication before calling a web method
WebProxy webproxy = new WebProxy("PROXYSERVER", 8080);
webproxy.Credentials = new NetworkCredential("USERNAME", "PASSWORD", "DOMAINNAME");
WebRequest.DefaultWebProxy = webproxy;