Follow the howto at
www.linux-made-to-order.net to install the pam_auth system.
Its listed in the documentation - user contrib section of this e-smith.org web site.
Following those instructions will mean that when a user's browser requests a web page, a login box will appear.
if you want users to still be able to browse the local web pages without having to log in then when you set the client browsers to use the proxy (set the IP address of the gateway machine and port 3128) then tick the box not to use the proxy for local addresses.
one thing though, pam_auth won't (as far as i know) work properly if you have the transproxy rpm installed (so if you've got it installed then remove it).
hope this helps.