When trying to connect through a proxy server TortoiseHg for Windows says "SSL error: unknown protocol"

The cause is that Internet Explorer is using an automatic proxy configuration script and TortoiseHg is using a particular proxy server. IE is not using the same proxy server because the automatic script picked a different proxy server.

The solution is to enter the proxy server used by TortoiseHg in IE's connection settings, or figure out which proxy server you're using at the moment and tell TortoiseHg to use that one. You may need to browse an external web site before TortoiseHg can connect.

You can figure out which proxy server you're using by browsing with IE and then running the DOS command:

netstat

and you'll see some connections in the Foreign Address column on port 80 or 8080 (common proxy server ports).