Hi opensas. According to this page, you can use the built-in JRE classes, with the caveat that earlier versions of Java can only do this on a Windows machine.
However, if you are willing to live with a 3rd-party dependency, IMO Apache Commons HttpClient 3.x is the way to go. Here is the documentation for using authentication, including NTLM. In general, HttpClient is a much more functional library.
The latest version of HttpClient is 4.0, but apparently this version does not support NTLM this version requires a tiny bit of extra work.
Here is what I think the code would look like, although I haven't tried it:
HttpClient httpClient = new HttpClient();
httpClient.getState().setCredentials(AuthScope.ANY, new NTCredentials(user, password, hostPortionOfURL, domain));
GetMethod request = new GetMethod(url);
BufferedReader reader = new InputStreamReader(request.getResponseBodyAsStream());
Good luck.