Has anyone figured out how to fix this problem?
I'm having the exact same problem. I have SME 5.6, and Windows Update does NOT want to work, however it works fine at home, or directly connected to the internet.
I tried setting my IE proxy to the IP of the SME, on the ports 3128, 80 & 8080, and neither of them work, they just seem to fail at any attempt to connect to any web site. Is there a certain port I should try?