Version:           4.1.1 (using KDE 4.1.1)
Compiler:          GCC (Packages from ARCH Linux x86_64) 
OS:                Linux
Installed from:    Unspecified Linux

With konqueror 4.1.1 I cannot browse some sites via squid proxy.
With a direct connexion, it's OK.
The same proxy settings are OK for firefox 3
I've tried squid 2.7.STABLE2 and also 2.7.STABLE4.

How to reproduce :
install squid proxy, 
set the konqueror SSL proxy setting to 127.0.0.1:3128
try to browse https://linuxfr.org/
You'll got this message :

Cette page ne doit plus être accédée, mettez vos signets a jour.  cliquez ici

And when you clik on the link, you are redirected to https://linuxfr.org/pub which display the same page, and for eack click, one '/pub' is appended to the url.

Second example :
Try http://creditmutuel.fr 
You are redirected to :
https://www.creditmutuel.fr/groupe/fr/
who says 

Bad request
Your browser sent a query this server could not understand.