By default, Windows Update will access to microsoft update server or your WSUS server directly, no matter you set a http proxy in IE option window or not. If your computer cannot access the internet directly, that may cause a problem.
To resolve that, you need to:
- Set a http proxy in IE option window;
- Open cmd window by administrator permission;
- Enter this command and press enter:
netsh winhttp import proxy source=ie
To disable the proxy setting of Windows Update, do the similars above, just changing the step 1 to disable that http proxy.