Using Jigsaw as proxy to another proxy ?

We have a proxy that requires authentication, and lots of programs do
not support proxy authentication (especially, with MS Proxy...).

I would like to configure Jigsaw to run on my machine as a non
authenticating proxy, which would proxy to the authenticating MS Proxy
using a username/password which would be passed on the command line for
instance.

Any idea on how I could achive that ?

Thanks,

Antoine.