You are trying to connect the Windows Live Messenger 2011 or 2012 over the Symantec Web Gateway proxy. The proxy server is set correctly in your Internet Explorer settings, but the connection fails.
WLM displays error 81000306 or 80072f06. Running the WLM troubleshooting wizard fails at "Key Ports..." check.
Windows Live Messenger 2011/2012 does not use the proxy settings in Internet Explorer for all communications; it also appears to use the WinHTTP proxy settings defined in Windows itself. Analysis of the WLM connection traffic has revealed that even when a specific HTTPS proxy port is set in IE, WLM continues to attempt to initiate at least one secure connection over port 443. When this fails, the client connection attempt also fails.
Windows Live Messenger can be forced to use the SWG proxy for all operations by configuring the WinHTTP proxy settings as well as Internet Explorer so that they match.
For Windows 7, this can be done as follows:
netsh winhttp set proxy <server:port>
e.g. netsh winhttp set proxy myswg.mydomain.com:8080
Multiple proxy ports can be defined as follows:
netsh winhttp set proxy proxy-server="http=myswg.mydomain.com:8080;https=myswg.mydomain.com:8443"
In case of issues, the proxy settings can be reset as follows:
netsh winhttp reset proxy
For Windows XP, the command is as follows:
proxycfg -p myswg.mydomain.com:8080
net stop wuauserv
net start wuauserv