MSE seems to be the current flavour of the month virus checker, but it doesn’t use the same HTTP proxy settings other Windows software does.
After a bit of Googling I found this website which explains how to fix this. I have reproduced it below. There’s a few sites showing confusing methods involving manual updates which you don’t need to bother doing.
After installing MSE and the update has failed, open a dos box and type the following depending on your Windows version:
Windows XP
proxycfg -u
Windows Vista / Windows 7
netsh winhttp import proxy ie
If you get a permissions error, the DOS box needs running as the Admin user by right-clicking its icon and choosing “Run as Administrator”.
