Hi.
The log file it's referring to is the psu.log file found in /var/adm/CSCOpx/log
Take a look at the log, if you see a 407 result code, it's likely you're running into a proxy authentication issue.
I'm not sure what version of LMS you're running, but if 2.6 and you see this problem, you might want to open a TAC case as there is a bug (CSCsg47200) that you could possibly be hitting, and it will take a sniffer trace to confirm--which I wouldn't advise posting here.
Be sure to mention the bug id in your problem description as a possible cause.
HTH,
-J