SmartConsole Update uses Windows proxy settings when check for updates (and for downloading).
Windows proxy settings are located at Internet Options -> Connections -> LAN Settings.
In case you need to use different proxy settings for SmartConsole updates you can edit SmartConsole.exe.config, and in the line that start with "<UpdateSettings CertificateKey " (not to be confused with the line that start with "<section name="UpdateSettings"") - add the following between "Update Settings" and "CertificateKey":
UseSystemProxy="false" Proxy="myproxy.myCompany.com"
So the final line should start with:
<UpdateSettings UseSystemProxy="false" Proxy="myproxy.myCompany.com" CertificateKey
At this stage we don't support proxies that require authentication.