After a while trying diferent settings i get it to work, it's not the best way to do this but the only i found. In the SSL Man In the Middle Filtering i changed from "Splice Whitelist, Bump Otherwise" to "Splice All" and now IE in windows XP is browsing with the proxy settings, as i said before it's not the best way but the only i get working, and the sites that are forbidden don't show the custom message but an ssl error and it's not accesible, in the end the result it's the same.
Thanks everyone for the help.
cheers