Below are workaround for to install Windows Live Installer behind corporate Proxy. Unless your network admin open up some port you are not able to install Windows Live suite of application. Finally I had found some workaround.
1. Surf to Microsoft Update Catalog http://catalog.update.microsoft.com/v7/site/Home.aspx
3. When download finished, you will find lot's of filed in the download directories. This are the setup files for various language, at this point I don't have any clue to check the language, what I did was try each and everyone till I found the English setup files.
Note: Below are the English setup file name for Live Writer, for others live application this method should work.
Update for Windows Live Writer (KB 944990)
Update for Windows Live Writer (KB 946058)