As EricLaw have said in his answer that you have to specify X-OverrideGateway flag on the Session, although if you want to do a basic HTTP authentication to the upstream proxy, you can set the credentials by adding the Proxy-Authorization header to the session inside your BeforeRequest handler like that
string userCredentials = string.Format("{0}:{1}", "user", "password");
string base64UserCredentials = Convert.ToBase64String(Encoding.UTF8.GetBytes(userCredentials));
oSession.RequestHeaders["Proxy-Authorization"] = "Basic " + base64UserCredentials;
Here's a list of the HTTP header fields
https://en.wikipedia.org/wiki/List_of_HTTP_header_fields