For '''Ubuntu'''

Download via Firefox CNTLM (like here http://packages.ubuntu.com/lucid/cntlm)

Open or Double-Click to install, or run «sudo dpkg -i ~/cntlm_0.35.1-5_i386.deb»

Edit /etc/cntlm.conf, set the listening port to 8128

Run cntlm

Change synaptic proxy setting to 127.0.0.1 port 8128, no authentication informations

Add to /etc/apt.conf.d/proxy : «Acquire::http::Proxy "http://localhost:8128";»

For '''Windows'''

Download CNTLM's setup exe from sourceforge

Install anywhere

Change cntlm service (in services.msc) to manual startup

create a runit.bat with the line : 
start cntlm.exe -v -c %0 -u %USERNAME%@%USERDOMAIN% -I -l 0.0.0.0:8128 -N "localhost, 127.0.0.*, 10.*, 192.168.*" -g proxy:8080


(change proxy as fit, remove the -v parameter to remove verbose mode)

Run runit.bat when needed
Warning . it acts as a proxy with YOUR credentials !