Invoke-WebRequest accepts -Proxy http://IP:20001 and -ProxyCredential with a PSCredential object built from the username and password. The password does not go in the URL.
Applying it to the session
Setting the proxy on one call does not change the others. To apply it to the whole session, store it in $PSDefaultParameterValues. To apply it to the system, the setting is the Windows one, and it affects every program.
SOCKS5 is not supported by this cmdlet. For 20481, use cURL.