Filezilla, Websense: Using ftp upload/download over websense proxy using filezilla client

http://www.websense.com/content/support/library/web/v75/wcg_help/conf_ftp_clients.aspx

The most important is the part:

FTP Proxy:
Custom:
USER %u@%h
PASS %p

proxy host: server:2121

user and password sometimes have to be defined and sometimes not, in my case the user was important but not the password.