Friedrich,
I have setup a proxy that works fine for the browser. I don't know what SB requires of a proxy, but it doesn't work through my Ubuntu TinyProxy. If you'd like to try it, I'll add an IP address for you to the security group.
NOW - I've setup Fiddler to possibly debug or at least inspect what's going on between SB and the proxy. That failed too since I can't seem to get fiddler interested in what SB is doing. So I pointed the installer to 127.0.0.1 8888 as the proxy and it installed - Fiddler still didn't show me anything but the SB Installer worked.
That's all well and good, however, the client still can't install the software or get the updated data they need.
What can I tell them other than "I guess this doesn't work with your proxy" - but that's probably not a good thing to say to a secure facility. <g>

Is there another way to see inside what's being requested?

Chris C.