After several days of tests and modifications, I’ve finally got my proxy working with a login/password!
Now I just have to figure out how to solve the problem with NTLM…
/* Does not work with a proxy using a login / password to be replaced by : CURLOPT_PROXYUSERPWD */
//curlCode = curl_easy_setopt(curl, CURLOPT_USERNAME, (LPCTSTR)userName);
//curlCode = curl_easy_setopt(curl, CURLOPT_PASSWORD, (LPCTSTR)password);
std::string proxyCredentials = userName + ":" + password;
curlCode = curl_easy_setopt(curl, CURLOPT_PROXYUSERPWD, proxyCredentials.c_str());