The more I dig into this the more I suspect a DNS problem. Set to DHCP and pulling its info from the same server that Squid resides on I'm able to update without any problems. With static settings -- same DNS servers enumerated -- I can't do it.
Regarding the 'direct connect', that shouldn't be a problem. I'm not forcing port 80 traffic through. Instead I opt-in for the proxy use at port 3128 or 8080 (Dansguardian filtering -> Squid). VERY curious indeed.
The inability to pull from IE6 is what disturbs me the most. Could be a very sticky one to figure out.