OK, I see.
Before posting, please read how to report bug or request support effectively.
Bug reports without an attached log file are usually useless.
How about "Use IE settings" for proxy ?
Could this problem be because the proxy requires username/password?
WinSCP does not have fields to enter username and password.
Received response 407 Proxy Authentication Required ( The ISA Server requires authorization to fulfill the request. Access to the Web Proxy service is denied. ) from ...