Cannot play tracks?

I have WMP 10 running on my XP SP2 box. I can access streams and codecs and the like through the proxy server (http proxy), but when i try to open a WMA that is protected, i am told i need a security update, so I clicked OK to download it. After doing this, i get the above error saying "The proxy server is denying access. The username and/or pword might be incorrect." There is no where in the options to specify my username and pword, nor was i prompted for one.