MS Virtual Labs’ proxy problem – No Connection.
When you connect to Microsoft MSDN Virtual Labs via a proxy, probably Microsoft ISA Server, you could get the following screen in the last step before the lab opens. There are two workarounds, one is type in your proxy settings and credentials directly in the window, or install MS Firewall Client to let it work for you.
I believe this is a known issue for Microsoft. They even provided an link under Help for the connectivity assistance.
Here is the link to the thread on MSDN forum. The first message was posted back in 2005. There were some improvements, but eventually no solution is in place to fix the problem.