// Setup NSURLConnection
NSURL *URL = [NSURL URLWithString:url];
NSURLRequest *request = [NSURLRequest requestWithURL:URL
                                         cachePolicy:NSURLRequestUseProtocolCachePolicy
                                     timeoutInterval:30.0];

NSURLConnection *connection = [[NSURLConnection alloc] initWithRequest:request delegate:self];
[connection start];
[connection release];

// NSURLConnection Delegates
- (void)connection:(NSURLConnection *)connection didReceiveAuthenticationChallenge:(NSURLAuthenticationChallenge *)challenge {
    if ([challenge previousFailureCount] == 0) {
        NSLog(@"received authentication challenge");
        NSURLCredential *newCredential = [NSURLCredential credentialWithUser:@"USER"
                                                                    password:@"PASSWORD"
                                                                 persistence:NSURLCredentialPersistenceForSession];
        NSLog(@"credential created");
        [[challenge sender] useCredential:newCredential forAuthenticationChallenge:challenge];
        NSLog(@"responded to authentication challenge");
    }
    else {
        NSLog(@"previous authentication failure");
    }
}

- (void)connection:(NSURLConnection *)connection didReceiveResponse:(NSURLResponse *)response {
    ...
}

- (void)connection:(NSURLConnection *)connection didReceiveData:(NSData *)data {
    ...
}

- (void)connectionDidFinishLoading:(NSURLConnection *)connection {
    ...
}

- (void)connection:(NSURLConnection *)connection didFailWithError:(NSError *)error {
    ...
}