The scenario:
You're behind a proxy server on Windows. You've configured TortoiseHg to use a proxy server; that is you've entered a server name/IP and port number. You are able to connect to the internet using Internet Explorer. But when you try to pull or push and it produces the error message "SSL error: unknown protocol".
(I plan to answer this myself.)
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).