EndNote does not work with an authenticating proxy server.

endnote_logo And it’s a bug/feature which is at least 10 years old, and Thomson Reuters have not fixed that issue in those 10 years.

It wouldn’t be that difficult to fix your application guys, here’s how you can do just that with a .Net 2 application.
Poxy proxies

As a workaround, we’re going to have to exclude every sodding database url from our proxy server.

Other references:
Error message: "Proxy Authentication Required" when searching PubMed or Web of Knowledge with EndNote 8.
ISA Server 2000 forum: Problem with EndNote