Report Builder Behind The Proxy Server Issue

We implemented Custom authentication with reporting services, everything works fine. At our client's site from one of there computer we did the following :

1- open internet explorer and access http://myserver.com/reportserver/reportbuilder/reportbuilder.application
2- the Report Builder Click once application was successfully downloaded onto the clients computer.
3- client was prompted to enter username and password. Client was able to see the report model and create,save reports to the reportserver.
4- close the report builder and try to access report via http://myserver.com/reportserver/reportbuilder/reportbuilder.application, this time the report builder launches but there is no prompt for username and password, instead it's asking to select a reportserver.
5 - tried selecting http://myserver.com/reportserver, there is not popup to enter username and password and we get the error message "unable to connect to server at http://myserver.com/reportserver , enter a different URL and Try again.

.NET framework 2.0 is installed on the client's machine. Our client can access http://myserver.com/reportserver/ from internet explorer.

Our client machine is behind a proxy server . Could this be caused by the proxy server. Why is report builder not prompting for credentials when launched. It only prompts for credentials the first time (installation). Any idea or anyone encountered this issue. we need a fix, because our client cannot access the report builder...

Chi.