I access the Internet on MDK 10.0 Community through a University Proxy Server. It requires authentification. While Opera works perfectly, the rest of the system seems unable to access the Internet. In Mandrake Control Center I entered the proxy server information, but I found nothing for the authentification username and password. Kopete, MDK update do not work.

Is there any way to configure the system not only to use proxy server but also to authentificate me (to enter the username and password for the proxy server)? Maybe it is possible to somehow configure applications individually.

AFAIK Kopete uses the proxy settings from Konqueror's settings so you should set your settings in Konqueror.
But somewhy this setting didn't work for me;
I just used the _newest_ Gaim for instant messaging.

How about the environment variables http_proxy, ftp_proxy?

KDE stuff ignores them, I'm sure.
You may try to login to ICQ server through port 443 instead of 5190,
and setting the proxy settings in Konqueror