It might help if you mentioned the particular application that you were trying to use to perform your downloads with, but since you haven't, I'm just going to throw ideas out there until I decide to move on to the next thread.
remember that backslash (\) is a meta character that is interpreted by the shell - if you want to include a backslash in your environment value, either use a double backslash
or enclose the string in single quotes
$ export http_proxy=http://domain\\user:pass@proxy:port/
try using lowercase http_proxy instead of uppercase HTTP_PROXY. Different tools expect different things, and the whole business of using environment variables to specify web proxy addresses is a complete mess because of lack of an early standard.
$ export http_proxy='http://domain\user:pass@proxy:port/'
try also setting $https_proxy too (I seem to recall yum under later releases of FC wouldn't work without this).
Lastly, check what authentication methods (basic, auth, digest, cram-md5, ntlm, etc) your proxy accepts, and what methods are supported by whatever application you are using.