Ask your network administrator to allow UNAUTHENTICATED outbound web access
from your PC, or create a rule that allows any traffic to your web server to
also be UNAUTHENTICATED.

Basically ISA server (your proxy server) is expecting to get a Windows
Username/Password Hash sent through to allow web access to your application,
your application isnt sending it, the alternative is to alter your .NET code
so that you send Default Credentials as part of the call into your SOAP
proxy.

End users who are not behind a restrictive firewall will not suffer from
this problem

Chaz