Best way to authenticated users to the proxy in mobile devices

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http://serverfault.com – As example, in Forefront TMG I can have a wpad entry in the DNS and computers discover it and auo oconfigure the web proxy, when the user try to go to the Internet he is prompet for the crendentials. In iPhone or iPad it doesnt work. ¿Which is your recommedned way of implement an authenticated proxy that works for mobile devices? (HowTos)