I recently installed Lyx on my Windows PC at work (To help me work out a correct document layout without the distractions of Microsoft Word).
As a part of the complete Windows install package, the typesetting programme: MikTex is installed.
When I attempted to update MikTex after installation, I struggled to get the proxy authentication working correctly. The solution it seems (For me anyway) was to not specify http:// in the proxy address box under connection settings. Just typing in the IP address of the Microsoft proxy server allowed this to work correctly.