I was getting a very similar situation where the HttpWebRequest wasn't picking up the correct proxy details by default and setting the UseDefaultCredentials didn't work either. Forcing the settings in code however worked a treat:
IWebProxy proxy = myWebRequest.Proxy;
if (proxy != null) {
string proxyuri = proxy.GetProxy(myWebRequest.RequestUri).ToString();
myWebRequest.UseDefaultCredentials = true;
myWebRequest.Proxy = new WebProxy(proxyuri, false);
myWebRequest.Proxy.Credentials = System.Net.CredentialCache.DefaultCredentials;
}
and because this uses the default credentials it should not ask the user for their details.