Mac OS X 10.2: "Software Update is not able to connect to the Internet" Alert

The Software Update feature of Mac OS X 10.2 cannot work if your computer uses a proxy server that requires authentication (a name and password).
Symptom

When checking for updates in the Software Update pane of System Preferences (either manual or scheduled), an alert with this message appears:


Solution

Manually download and install any required updates from Apple Software Downloads (http://www.apple.com/swupdates/).
Published Date: Oct 11, 2016