C# - Web Service: Proxy server 407 error when specifying KeepAlive = false

[clarkemi]

Have implemented:

protected override WebRequest GetWebRequest(Uri uri)
{
  HttpWebRequest request = (HttpWebRequest) base.GetWebRequest(uri);
  request.KeepAlive = false;
  return request;
}

When making a call to the web service through a proxy server receive HTTP status 407 error. Have specified default proxy and default credentials.

Using .Net Framework v1.1.4322.