Solution:
Browse to C:\Program Files\Common Files\MicroWorld\WGWIN folder and then open WGWIN.INI file in a notepad and then add the Proxy user name and password (which was set by the System Admin on that system to connect to the internet) in the below sections
ProxyUser=
ProxyPassword=
ProxyPassword=
Save the file and then try downloading the hotfixes again.
Note: Pause eScan's protection before saving the file, incase it does not allow to save the file.
An additional note:
You can find the Proxy username and password from Eupdate.ini file under below HTTP section and can add the same credentials in wgwin.ini as explained earlier.
HTTPProxyUserName=
HTTPProxyPassword=