If you have internet connection shared through proxy server and you want to get your Microsoft Security Essentials updated through proxy connection, follow the work around to do it

  • First make sure proxy setting's are configured correct on Internet Explorer, if not do it first. 
  • Now type below command in command prompt.

C:\proxycfg -u

Microsoft (R) WinHTTP Default Proxy Configuration Tool
Copyright (c) Microsoft Corporation. All rights reserved.

Updated proxy settings
Current WinHTTP proxy settings under:
  HKEY_LOCAL_MACHINE\
    SOFTWARE\Microsoft\Windows\CurrentVersion\Internet Settings\Connections\
      WinHttpSettings :

    Proxy Server(s) :  192.168.20.126:8080
    Bypass List     : 

 then it will copy your proxy settings and windows security sessentials will be updated through proxy.

In WINDOWS 7 /VISTA this command doesn't work, it's been replaced with
c:\ netsh winhttp import proxy ie

Hope it works for you.