You can't do it on the device as far as I know, but it is possible in the BES to pass credentials for a specific URL using proxy mappings. To access those go to the properties for the MDS Connection Service, click Proxy then click Proxy Mappings. I've never heard of this having to be done before though so I think there might be a problem with your proxy setup, but then again I'm not entirely familiar with the intricacies of BES + proxy so I could be way off base