This is not a problem to do with the Jmeter recording proxy but playing a test back through a corporate internet proxy.
I had written and tested a Jmeter script against an external website and sent the script to a customer. They needed to play this back via their proxy server.
I told them to set the proxy details in the HTTP Default Config Item.
However, they kept reporting that the script was failing. When I tried, it worked fine from my PC.
After much head scratching it turned out that they where not passing the domain in the user name. So it should be domain\username rather than just username.
Must remember to ask sooner next time!