Windows update (and others) through NT 4 Proxy Server 2

Archived from groups: microsoft.public.windowsnt.misc (More info?)

All of our PCs connect via the internet via proxy server running on NT 4.

Recently, users are reporting that they are unable to access some web sites.
For support, one of the most critical ones is the Windows Update service. We
typically run this whenever a new PC is built to make sure it's got all the
security updates.

I'm just building a Windows 2000 Server box and on running Windows updates,
it failed to download Bits and Windows Installer 3.1 although the website
itself is working fine. The error reported is:

Error Code: 0x80072EE2

Any ideas? A temporary solution for this immediate requirement is to
temporarily drill the server through the firewall and turn off proxy server.

Cheers, Rob.