I know this is a bit tricky and i am not a technical expert..
But i found it myself and whoa it works..
1. Download Squidman and install it.
2. Run it and go to preferences and under "Parent" tab enter your proxy settings with authentication details.

3. Now, go under "General" tab and enter "3128" or any other number (four digits and greater than 1024) in HTTP Port and select cahe size as much you want and check all checkboxes.

4. Click save.
5. Click Start on smaller Squid window with a pink octopus(i love that symbol).

It will Start with a message "Squid is running"

6. Now, go to your proxy settings unser System Preferences>Network>Advanced>Proxies Tab and chech
HTTP, HTTPS, FTP and for each enter proxy as "127.0.0.1" or "localhost" and port "3128" (or the number you entered in HTTP Port earlier.

7. Thats, the best point, DONE!
Basically you are running a Squid proxy server on your system and now web content reaches you via two proxy servers, one of your corporate and the other on your system. You may think that this might slow down your connection as there are two proxy servers involved. My friend that is 100% correct. So a solution.
While selecting cache size remember to keep it above 1 GB. Believe me at first your internet would lag a bit, but after about 10 hours of usage it would be faster than ever. Atleast for me this has happened.
One important thing the use of other proxy server here doesn't mean that you are anonymous to the corporate proxy server as some programs like "Tor" or "Hotspot Shield" does. It simply creates another layer of proxy server. IP address spoofing is not the thing done here.
Any further queries will be greatly acknowledged.
I have done this for about 3 days and trust me that irritating Dialog never appeared. Not, even a single time.
Good Luck!