Firefox Authentication Constantly Required

Good evening :)

Having a problem with Firefox connecting through a Threat Management Gateway server.
It constantly asks for Authentication for the proxy server. I've told it to remember it a number of times and yet it keeps asking. Everytime I press "OK" you can see something loads on whatever page you're trying to access.

Anybody else experienced this?

Thanks :)

does your group policy delete internet history? also are profiles stored on server, as this could also affect firefox remembering information.

I suspect it's to do with cookies being disabled.