The group a little below the middle in KControl->Internet and network->Proxy (at least here). If you can find it, you proberbly don't have it.
I don't know which authentication protocol you use, but it sounds logical if it uses http or https authentication. In that case, a proxy is not more then a function from a URL to a URL.
If it uses another authentication protocol (such as the NTLM), I don't know if that is possible.