There is a way to be able to update through proxy using MSE. But it requires a little bit of finesse using Command Lines.
In Vista and Windows 7 you need to open Command Prompt as Administrator.
To do this go to:
1. Start Search. Type CMD and right click on the result and choose to "Run As Administrator"
2. Type this syntax : NETSH WINHTTP SET PROXY (Number and proxy server goes here)
Example: NETSH WINHTTP SET PROXY 18.104.22.168:8080
OR: NETSH WINHTTP SET PROXY MYPROXY.NET:8080