title: Use libCurl with Bluecoat cookie proxy
body: <p>I am trying to connect through a Bluecoat proxy which uses a cookie during the proxy authentication.</p>
  
  <p>I have been completely unable to find a combination of CURLOPT_ settings that will get CURL to present the cookie during proxy authentication.</p>
  
  <p>So: the proxy responds with:</p>
  
  <pre><code>HTTP/1.1 407 Proxy Authentication Required
  Proxy-Authenticate: NTLM
  Cache-Control: no-cache
  Pragma: no-cache
  Content-Type: text/html; charset=utf-8
  Proxy-Connection: close
  Set-Cookie: BCSI-CS-EDD688431754D715=2; Path=/
  Connection: close
  Content-Length: 825
  </code></pre>
  
  <p>But curl does not present the cookie in subsequent authentication attempts, no matter what I set for CURLOPT_COOKIEFILE or CURLOPT_COOKIEJAR.</p>
  
  <p>NOTE: I am also using (because I must)</p>
  
  <pre><code>CURLOPT_PROXYTYPE = CURLPROXY_HTTP
  CURLOPT_PROXYAUTH = CURLAUTH_ANY
  CURLOPT_HTTPPROXYTUNNEL = 1
  CURLOPT_CONNECT_ONLY = 1
  </code></pre>
  
  <p>Is it reasonable to expect CURL to present a cookie with a Proxy-Authorization request?</p>
  
  <p>I am using curl_easy_*, would moving to the multi interface help?</p>
  
  <p>Finally, I am building with 7.19.7</p>