Should you find yourself running a Linux box behind a proxy that requires authentication you will need to update your setup so that you can get access to the outside world, and make some configuration changes to yum.
First, add the following to your /etc/yum.conf (note, this is incredibly insecure as you will now have your proxy uid and password in clear text on your machine.? You should remove your login details after you have made your connections):
Secondly, if you want to have access to the outside world for other processes you'll need to edit your .bash_profile and add the following (again, this is really insecure):
source your .bash_profile and now you should be able to authenticate to the proxy server.