Tested On-CentOS 4.4 w/ Custom SQUID 3.0.STABLE15
1)Add the following entries
deny_info ERR_AUTH_PROXY ntlm_users #ntlm_users is my NTLM Authentication acl , change it to whatever you configured it with.
2)On the filesystem create the following file and add the customized entries
/usr/local/squid/share/errors/templates/ERR_AUTH_PROXY
3)Restart squid , or check with squid -d 1 if the entries are good.