Debes retornar un error 407 al navegador, y el repetirá el request con la información de autenticación adecuada en el header.
Cita:
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Empezado por HTTP protocol
407 Proxy Authentication Required
This code is similar to 401 (Unauthorized), but indicates that the client must first authenticate itself with the proxy. The proxy MUST return a Proxy-Authenticate header field (section 14.33) containing a challenge applicable to the proxy for the requested resource. The client MAY repeat the request with a suitable Proxy-Authorization header field (section 14.34). HTTP access authentication is explained in "HTTP Authentication: Basic and Digest Access Authentication"
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Hay mas información en el
rfc 2617: HTTP Authentication: Basic and Digest Access Authentication
fuente: Status Code Definitions
Hasta luego.
