I have setup WPAD for a non-transparent Squid proxy server using the DNS aliasing method. Port is 3128. I have some users working fine with "automatic detect proxy" checked in Internet Explorer and some that returns TCP_DENIED/400 Invalid-request in the squid access.log file.
When I look at the "Temporary Internet Files" on the PC, it keeps on downloading this file wpad.dat file http://proxy.domain.com:3128/wpad.dat and the content of that file display this:

The following error was encountered:

Invalid Request
Some aspect of the HTTP Request is invalid. Possible problems:

Missing or unknown request method
Missing URL
Missing HTTP Identifier (HTTP/1.0)
Request is too large
Content-Length missing for POST or PUT requests
Illegal character in hostname; underscores are not allowed

Generated Wed, 07 Feb 2007 18:35:59 GMT by proxy.domain4.com (squid/2.6.STABLE9)

On the PC that are working correctly with WPAD, it downloads http://ipaddress/wpad.dat file where it can be found in the "Temporary Internet Files"

Any help is greatly appeciated...

Thanks