Alright, here’s what I do to get wget from the Native Win32 ports GNU collection to work with as little fuss as possible.

cat > %HOMEDIR%%HOMEPATH%\.wgetrc
http_proxy = http://PROXY:PORT/
	ftp_proxy  = http://PROXY:PORT/
        use_proxy  = on
	proxy_user = USERNAME
	proxy_passwd = PASSWORD
        user_agent = SOMETHING GOES HERE

Pay attention to proxy_passwd. wget is at version 1.8.2 and that configuration option was renamed in a later version.