Assuming you're behind an ISA proxy that is using NTLM authentication, it does seem to be difficult to support. That's my situation at work and it seems to be extremely difficult to find information about supporting that situation properly. Google App Engine lacks NTLM support as well and it has been a constant source of headaches for me.
What I've been doing is using a Python loopback proxy called NTLM Authorization Proxy Server
You set up NTLM-APS on your machine with the NTLM credentials, and then in all those programs that don't support NTLM you tell them to use NTLM-APS as their proxy. It will handle all the NTLM authentication with the ISA proxy, pass the traffic back and forth just fine, and those programs should act like they were using a proxy that didn't require NTLM authentication.
This seems to work pretty well in most cases and even though a GAE update caused it to no longer meet my original needs, I still use it for a few other programs. Though, I haven't tried it with Google Earth/Update.
Granted, if it's not NTLM or you're unable to install Python, this is all pretty useless for you.