This should help: Support Doc: Authentication Examples by Deployment Method - https://community.mcafee.com/docs/DOC-4384
You need to configure a transparent authentication method using either Time/IP based session or cookie authentication. You then need to 'trust' the MWG's IP by adding in to the Local Intranet Zone. If you are planning on keeping a mixed environment (transparent and direct proxy) I recommend using a different proxy port for each method and adding that criteria to your authentication rules.
Thanks for the help Patrick.
Like you said, I have tryed to use Time/IP Based Session but it does not work properly for computers without proxy settings. When the user authenticates, he can only open HTTP sites. This Rule Set does not work well for HTTPS requests.
But it worked for computers with the proxy marked as well.
Now I need to resolve this new problem. Can you help me?