>>I am testing this out. I ran proxcfg -U
>>This is supposed to extract and use my IE proxy settings. It appeared to do so, but I still can't make it through the firewall. Do I know have to get my firewall admin to make changes at his end. He has never changed a setting for me in the 7 years I've made such requests. This is not looking good.
>
>Remember, Evan: "Auto-discovery and configuration script-based proxy settings are not supported by WinHTTP" - please check if this is your case.

I would check it, but I have no idea what that means. :-(

When I run PROXYCFG with no parameters I get

  HKEY_LOCAL_MACHINE\
    SOFTWARE\Microsoft\Windows\CurrentVersion\Internet Settings\Connections\
      WinHttpSettings :

    Flags        = PROXY_TYPE_DIRECT | PROXY_TYPE_PROXY
    Proxy Server = http-proxy-vgh:80
    Bypass List  = vhnet;quist;BME;<local>

This looks fine and are the settings from IE. I am not sure what the flags mean.