I am going to go out on a limb and guess that your problem is that you do not have your proxy server set correctly for the https protocol and you are being blocked by a firewall. On Unix try this from the shell first:

export https_proxy=http://your.proxy.machine:8080/
[download]

where the data you put there is appropriate for whatever your local proxies are. And then try the following (switch quotes on Windows):

perl -e 'use LWP::Simple; getprint("https://www.safeweb.com/");'
[download]

Hopefully that will work. (If not then you have a very short script that should work to play with.)