Just a quick note.. the auth-proxy prompt will accept html code if you want to tidy up the proxy login page a bit!
Note: If you are using telnet auth too, telnet users will just see html code! - be warned ;-)
You are limited to 254 chars though so i'd suggest to insert a link to a style sheet hosted somewhere public so that you can fit more text in!
Still won't work in firefox though due to missing http headers.
auth-proxy prompt <link rel=stylesheet href=http://somepublic.server/main.css>your text here
Set the table and P properties in the style sheet to whatever you need. there isnt room to close the table unfortunately but IE6/7 and firefox close them automatically (except ff doesnt work with auth-proxy!)
Sample style sheet is attached.