On my Mac I use Authoxy to avoid having to continuously reauthenticate to my client's proxy server. It works like this: I give Authoxy my credentials and the location of the PAC file. It runs locally on some port (say 8888) and any program where I need to specify a proxy server, I put 127.0.0.1:8888. The program connects to Authoxy and it connects to the real proxy server. I don't have to copy authentication info everywhere, reenter credentials all the time, etc. Very nice. More importantly, apps that are too stupid to support proxy authentication or that don't support PAC files can connect to Authoxy, whereas I'm screwed with the normal proxy.
I need someway to accomplish the same thing in Windows XP.