Currently running Java Update (1.4.2_0x) through an authenticated proxy is not 
supported and the standard error should be shown: 
   http://java.sun.com/j2se/1.4.2/proxy_note.html

  "The installer cannot proceed with the current Internet Connection proxy
   settings. Please check the Installation Notes for more information."
   
With an NTLM authenticated proxy the standard error message is not being shown. 
The following one is:

  Error 1305. Error reading from file
  http://java.sun.com/webapps/download/GetFile/1.4.2
  _03-b02/windows-i586/Java 2 Runtime Environment, 
  SE v.14.2_03.msi. Verify that the file exists and that
  you can access it.
  

N/A

This is because the wrapper around the installer uses wininet to check and see 
if there is an internet connection available. WinINet used SSPI (Security 
Support Provider Interface), and the NTLM provider uses the logged in users 
credentials to transparently make the connection. The installer then runs and 
fails with the "Error 1305....."

  xxxxx@xxxxx   2004-02-19

Is there any chance tha you migth consider including this feature for futere releases?