Thanks for your reply.
I think there might be some misunderstanding here.
I have a Silverlight application hosted on server A.
From this application I want to use a WMS-service hosted on server B. Server B is on the Internet.
I don't have access to server B, other than the user/password for this service.
I tried to deploy SLProxyPage on server A, with the settings you suggest.
When I run my application I get prompted for user/password (here I used Basic Authentication in IIS-manager). The only user/password that seems to be accepted here, is one for server A. Then after a while I get a 500 response (using fiddler).
If I instead configure IIS to use Integrated Windows Authentication, I don't get prompted for user/password, but the result is the same (500 response).
So I think that this will only work if SLProxyPage is deployed on server B.
Can this be correct?