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When using a proxy to request URLs that require Digest Auth,
a header similar to the following is sent to the server:
Authorization: Digest ... uri="http://example.org/foobar/spam" ...
The server then responded with:
HTTP/1.1 400 Bad Request
Server: Microsoft-IIS/6.0
When not using a proxy, the header sent will look like:
Authorization: Digest ... uri="/foobar/spam" ...
and the server responded as expected with a 200 OK.
I don't know what is at fault here, urllib2 or IIS,
but patching the urllib2 to not use the full URL, when creating 
the Digest Auth. header, works.
When a proxy is being used by urllib2, the Request's get_selector() will
always return the full URL instead of just the selector.
The code that creates the Digest auth. header also uses the
get_selector() to set the "uri="-part in the auth header.
Making sure that the "uri="-part is not a full URL all seems to work.
See the patched urllib2.py attached.
I have only tested the fix against the server I had problems with,
and it seems to be working.