You are using Site Manager from MCMS 2002.
Site Manager is partly build on C# and is using the HttpWebRequest class in .NET framework to connect to the MCMS server.
In the customers environment SiteManager wrongly tries to connect through a proxy server rather than directly connecting to the MCMS server.
SUMMARY of TROUBLESHOOTING
Using a configuration file to instruct your application to use the right parameters:.
Set the GlobalProxySelection option in the application config file (NRClient.exe.config) and copy the file into “C:\Program Files\Microsoft Content Management Server\Client” (see below for file content)
proxyaddress = "http://proxyaddress:port" bypassonlocal = "true" />