It is not a bug if the behavior is documented. Read the docs first. Always include as many details you can think of, including curl version, operating system name and version and complete instructions how to repeat the bug. NTLM is a Microsoft proprietary protocol. Unfortunately, curl does not currently support that.
Proprietary formats are evil.
You should not use such ones. We have written the libcurl code specificly adjusted for multi-threaded programs. You are in full control of the callback function that gets called every time there is data received from the remote server. You can make that callback do whatever you want. You do not have to write the received data to a file.