The help page is getting more unusuable since the commands describe were previously incomplete, and are now wrong:
No it shows this:

wget http://ipcc-ar5.dkrz.de/webstart/myProxyLogon/MyProxyLogon-ESG.jar;jsessionid=F4EBC8B25BDDB531AED26366CD7625D4 -O $HOME/.esg/MyProxyLogon.jar

Assuming you really want to pass the session, you need to encapsulate those in quotes, if not the semicolon will break.
Furthermore:
java -jar $HOME/.esg/MyProxyLogon.jar -u <username> -h <myproxy-server>

could be filled out with the myproxy server information (including port), since that information is known. It should be like:
java -jar $HOME/.esg/MyProxyLogon.jar -h server -p port -u <username>

to simplify cut and paste.