You should look for the global lynx.cfg configuration file, or edit one in any place that you would refer to when invoking lynx by the -cfg=/some/other/lynx.cfg option.
Where your global lynx.cfg file is supposed to reside depends on how your lynx was configured before make.
For instance with my lynx build on AIX it resides in /usr/local/lib/lynx.cfg, but yours may be somewhere else.
If you edit this file search for directives that contain the string proxy.
There is ample comment how these directives ought to be set.
If you had invoked lynx with -h (or some other invalid option), or had read lynx's manpage you would have come accross the option "-pauth=id:pw" which is how you should pass the proxy credentials.
Better yet however would be setting them in the cfg file.
lynx should acknowledge the same variables like wget or the Perl LWP suite (aka libwww).
So I think you could as well export the environment variables proxy_user and proxy_passwd.
As many proxies behave differently it could be likely that yours isn't considering the credentials in the URI as you provided them (although according to the URI RFC this is valid syntax).
Our proxy for instance, doesn't care for URI embedded credentials, but the passing of a proper Base64 hashed request header of type
"Proxy-Authorization: Basic ", which wget or lynx formats for you from the above mentioned directive or option values, works very well.
You could check this if you have a recent Perl installation by an lwp-request which you pass your proxy-url with -p, the proxy credentials with -C, and get the request HTTP header displayed (together with the response) by the -U option.
Madness, thy name is system administration
