Currently running Java Update (1.4.2_0x) through an authenticated proxy is not
supported and the standard error should be shown:
   http://java.sun.com/j2se/1.4.2/proxy_note.html

  "The installer cannot proceed with the current Internet Connection proxy
   settings. Please check the Installation Notes for more information."
   
With an NTLM authenticated proxy the standard error message is not being shown.
The following one is:

  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.