I have been having problems with windows update for ages and a member of my
team has found a fix by adding a new reg settings to my PC's
It seems that the IE reads the winhttpsettings for windows update not the
proxy settings so I used proxycfg.exe to setup the PC with the correct proxy
settings and snapshotted this to create an app to force run. The app
creates a new key under
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\Curr entVersion\Internet

Give it a try, it may fix it for you as well.