eUpdate does not work through my firewall at work unless I change the settings in preferences. I did find the correct settings once and altered them to use ftp (if I remember correctly). I can't remember where I got these settings though and I have now reset to the defaults. Sorry I can't help you fix it.
Virex really should support the proxy settings set in System Preferences I know but so should many of Apple's own programs (such as Backup).