Hi, I have been struggling with the same problem for a while.
First of all: the proxy settings are found under Wi-Fi settings->advanced.
I was using firefox and had read that authentication would still not work, so wasn't surprised when firefox didn't work through the proxy. However that was firefox's problem.
Have not tried the default browser, but Dolphin browser recognised the proxy settings and gave me the authentication box and on signing in everything worked well.
good luck