> I think it might be a security measure to prevent
> other websites from posting links directly to their
> stories thus driving up their server costs

Yes, It might be. But that means, it might not be too.

Check if:
1. You've set the correct proxy with port
2. Check if your proxy required authentication
3. Check if you can access the site with IE/Firefox
4. Check if You are in offline mode in IE.
5. Check if your DL path is invalid or too long

Regards,
Annajiat Alim Rasel