Windows's updates don't download!

Hi,
I am writing to ask you why Windows's updates doesn't download especially when I use an internet connection via a proxy server although I was using that an internet connection via same a proxy server and the Windows's updates were downloading correctly.
Note: my windows is a windows seven and when I use an internet connection without a proxy server the Windows's updates download correctly
Isn't there any ways to let Windows's updates download via the proxy server.
I check the windows updats and I find them configured that they download automatically please have a look here:

http://img535.imageshack.us/img535/171/supdates1.png
I am using IE 9 , by the way, I have not a problem with the accessing to the internet I access to the internet via the proxy server without any problem.(NOte:I know those steps you have said me and I changed the setting explorer from the option communications, then, LAN, after that, I entered the the address of proxy server) but my a probelm is only in Windows's updates don't download when I am using the internet via the proxy, however, when I access to the internet elsewhere there is no a problem and windows's update download automatically.

I would greatly appreciate if you could help me if there any solution.

I'm looking forward to hearing from you as soon as possible.
with best wishes,