On Windows, the Java update feature does not work if being behind an authenticated proxy. If you would like to upgrade from 1.4.2_02 to 1.4.2_03 you get a dialog box containing the following error message:

  Error 1305. Error reading from file
  http://java.sun.com/webapps/download/GetFile/1.4.2
  _03-b02/windows-i586/Java 2 Runtime Environment,
  SE v.14.2_03.msi. Verify that the file exists and that
  you can access it.

  [Retry] [Cancel]