This worked for me, in Windows XP behind a corporate firewall.
I didn’t have to install any local proxy or any other software besides git v1.771 from http://code.google.com/p/msysgit/downloads/list?can=3
git config --global http.proxy http://proxyuser:proxypwd@proxy.server.com:8080
git config --system http.sslcainfo /bin/curl-ca-bundle.crt
git remote add origin https://mygithubuser:mygithubpwd@github.com/repoUser/repoName.git
git push origin master
proxyuser = the proxy user I was assigned by our IT department. In my case, it is the same Windows user I use to log in to my PC, the Active Directory user.
proxypwd = the password of my proxy user
proxy.server.com:8080 = the proxy name and port, I got it from Control Panel, Internet Options, Connections, LAN Settings button, Advanced button inside the Proxy Server section, use the servername and port on the first (http) row.
mygithubuser = the user I use to log in to github.com
mygithubpwd = the password for my github.com user
repoUser = the user owner of the repository
repoName = the name of the repository