There is a way to tell the emulator to use an http proxy. You want to find the run-emulator (or run-emulator.bat) command. I'm not sure which directory it is stored in (I don't have a Windows machine or Mac handy). You will see that that script (batch file) invokes the "emulator" command with a bunch of options. Add the "-http-proxy <your proxy>" to the line where the emulator is invoked. You will have to do this on each machine.
It may be easier to white list ai2.appinventor.mit.edu (which is where the emulator will download an update from).
-Jeff