Internet connection

I installed Parallels 5 on Mac book with Snow Leopard. I am trying to connect to internet on work network which uses a proxy. When I try and connect it brings a window that says "windows security", gives an ip address that it is connecting to and then asks for a username and password. Below that is a domain which has part of my name but I do not understand where the name is coming from. I do not know what username and password it is asking for. If I cancel it says proxy authentication is required.

My mac can connect but I have to use a program called authoxy to get through the proxy.

I have tried all of the possible combinations of usernames and passwords I know.