Use of extension Enhanced Web References


In my project I have to access a 3rd Party external Web Service and I have a proxy to access internet.
I'm using the SetWebReferenceProxy function before calling the web service's method and I'm setting the Web Reference Name, Proxy address, proxy username and password but I get the following error:

The remote server returned an error: (407) Proxy Authentication Required.

I am sure that the user and password are correct as if I log in to the machine with that user and password I can access the web service's wsdl, for example.

I'm sending a printscreen.