The “no matching references” response from the WoS connection files usually means that you are not authenticated to access the database. The WoS connection files use the HTTP protocol (unlike most other connection files) and they require IP authentication for access. So you can probably only access them by going through your proxy server.
I don’t know why your proxy server is repeatedly asking for authentication. Does it help if you first use your web browser to access a site external to your institution?