@nchcc, If I remember correctly... Express Talk doesn't actually have built-in support for USB phones and instead ET requires that a driver for the phone device be downloaded separately. In such a case, it's possible that the download mechanism does not honour the proxy settings set-up with windows and assumes a direct a connection is present. Thus it fails to connect and download the file from NCH.
Note that although the USB phone hardware (i.e. the mic and speaker) are 'plug and play', the phone actually has a separate driver from Yealink which provides additional functionality to Express Talk (e.g. for ringing, speaker phone, accepting keypad digit input, displaying information on the phone's screen, etc.)
Also do not confuse Plug and Play with UPnP ("Universal Plug and Play" - devices which connect directly to a network). The USB phones are not UPnP devices, they are only plug and play in the sense that you can connect them to a computer and they will be recognized as a generic audio device with a mic and speakers. They do not connect directly to the network in any way, they simply interact with software such as Express Talk, Skype and X-lite to provide phone-like functions to the software.