urllib2 https proxy auth has not yet been fixed in Proxy(Basic|Digest)AuthHandler for py2.6 & pt2.7.
http://bugs.python.org/issue7291
To workaround this bug, we must use ProxyHandler which has been fixed.
For the proxy support to be effective throughout the Pywikibot code, MyURLopener must be set as the default opener with urllib2.install_opener.