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update.packages with proxy?

This reminds me of a question I've never asked yet: Is there a trick to make
this work when a username authentication is required for using the proxy?
I need a user name and a password to connect to the Internet, and so I get:
_              
platform i386-pc-mingw32
arch     x86            
os       Win32          
system   x86, Win32     
status                  
major    1              
minor    3.0            
year     2001           
month    06             
day      22             
language R
trying URL `http://cran.r-project.org/bin/windows/contrib/PACKAGES'
Error in download.file(url = paste(contriburl, "PACKAGES", sep = "/"),  : 
        cannot open: HTTP status was `407 Proxy authorization required'
I understand why this does not work, but don't know what I can do about it.

Heinrich.
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