I will describe solution which I use myself.

1. Download cntlm-0.92.3-setup.exe and install it (it will set up system service).
2. Configure cntlm.ini (C:\Program Files (x86)\Cntlm\cntlm.ini) - proxy address, no proxy, domain account etc.
3. Restart Cntlm Authentication Proxy service.
4. Set http_proxy/https_proxy to http://localhost:3128 (system wide method)
5. Try symfony installer now

Sometimes it could be a little bit slow but it works. I use this solution for all console apps that do not support integration with system wide proxy. Cntlm also works on unix based OS.

Hope that's help.