In Windows Server 2016 the usual trick of just setting a proxy server in IE doesn’t seem to work. The proxy can be set from the command line, but there is some contradictory advice out there. What worked for me was:
netsh winhttp set proxy proxy-server="your.proxy.server:port" bypass-list="*.your.local.domain"
This should result in:
Current WinHTTP proxy settings:
Proxy Server(s) : your.proxy.server:port
Bypass List : *.your.local.domain
You can also check this with
netsh winhttp show proxy
You are meant to be able to import this from IE, but that gave me a syntax error.
You may need to restart the update service after this to kick it into life.