Http 407 error code

Question

Hello everyone,

I met with Http 407 error code when accessing some web site from my client application.

I read some description from,

http://www.checkupdown.com/status/E407.html

My confusions are,

1. what is the proxy in the context? the proxy server which we setup in our IE Http connection settings?

2. we always do authentication with the web site -- so two parties client and web site, why proxy involves?

thanks in advance,
George