Hi,
I'm not sure if I understand you completely, but the problem is that you still get ActiveX warnings on Windows Update?
The Proxomitron and Windows Update are NOT compatible alas. I have heard reports for some users it works, but I can't even get the activex to install with Prox running in bypassed mode. Because this website is tightly integrated into Windows, it is best to completely bypass your browser's proxy for Windowsupdate. Try adding
*windowsupdate*;office.microsoft.com
to the Exceptions part of MSIE's proxy settings. (The latter (office.microsoft.com) is not needed if you do not use office software.)
Info on Proxomitron can be found in the 'Docs' folder of your Proxomitron install, and in the helpfiles.
It was made by Scott R. Lemmon (who posts here occasionally