Windows Updates on Windows Vista, 2008, or 7 is sometimes not smart enough to find your proxy server setting in Internet Explorer. This is because the updating process runs as Administrator or "SYSTEM" rather then your actual username. The workaround is as follows:

• Click the start button
• Type 'cmd'. Windows should display cmd.exe as the first option.
• Right click cmd.exe, and choose "Run as administrator"
• In the window that appears, type the following command:
  netsh winhttp set proxy proxy.caylix.com:3127

• Then try the windows updates again.