Proxy Issue w/Outlook

[TECO]

I use Outlook 2003 SP2 and I access the Internet through a proxy server.
When I open an email that contains images downloading from the Internet,
it won't prompt me for my proxy server user name/password, resulting in
no images. If I click forward on that message, it immediately prompts
me for the proxy authorization. I enter it and all emails download
Internet images without prompting from then on. Each time I close
Outlook, I have to go through this before images download next time I
start Outlook.

Is there a setting to make Outlook prompt me for proxy credentials when
attempting to access the first time?

Thanks..Troy