If you have everything all set for an extranet, and you have run the proxycfg command, and you are still receiving the proxycfg error, then this might be your answer.

MS has a KB article (Q305032) describing this. If you have a NAT occuring between the extranet client and the SPS, then the client (and the SPS) are resolving the FQDN (via DNS) to the external IP address. The SPS however, needs to resolve the FQDN to the internal IP address.

The quick fix is to add a hosts file entry into the SPS containing the FQDN with the internal IP address of the SPS. This immediately fixed my issue.

Bryan