You mean in SEPM?

the update will store in C:\Documents and Settings\All Users\Application Data\Symantec\LiveUpdate\Downloads the purging is based on what you define in SEPM,
You can configure it to download the virus defintion even though you are having a proxy.

first the contents are downloaded to

C:\Documents and Settings\All Users\Application Data\Symantec\LiveUpdate\Downloads
SEPM processes it

later these are saved in

E:\Program Files\Symantec\Symantec Endpoint Protection Manager\Inetpub\client packages

U need to delete it manaully from the SEPM

No pure options i guess.

In SEPM it will be in following path
\Program Files \Symantec\Symantec Endpoint Protection Manager\Inetpub\content
It is not possible in live update policy. For putting proxy settings You have to go to admin tab then servers. In server tab you have to select your Manager click on edit properties there you will get a tab as proxy server. In this tab you can put your proxy settings

what's the difference between folders in \Program Files\Symantec\Symantec Endpoint Protection Manager\Inetpub\content and folders in \Program Files\Symantec\Symantec Endpoint Protection Manager\Inetpub\client packages?

content is where the liveudpates will be saved.
if u open the contentinfo.txt
you will see numbered folders list and whats saved inside there, 32bit defs and various defs like that.

client packages is where the new client pacakges are saved.
thats when u add new client packages.

I tried a liveupdate in my server,and in \Program Files\Symantec\Symantec Endpoint Protection Manager\Inetpub\content there were folders, in each folder I had 2 other folder: .zip (about 50Mb) and the same folder unzipped.
1.Is it normal to have the two folders?
2.Is it normal that size of all updates are very important? (more that 4Gb) and the server crashed because there is no space disk.
3.Is it possible to change the directory of all updates?
4.If I want to delete manually old updates from \Program Files\Symantec\Symantec Endpoint Protection Manager\Inetpub\content , and another liveupdate is launched,did it downloads updates delated?

1.Is it normal to have the two folders?

It depends on how many content revision u have selected to keep on SEPM

2.Is it normal that size of all updates are very important? (more that 4Gb) and the server crashed because there is no space disk.

If u decrease the number of content the size automatically decreases u can find out the idle value which will suit ur need and set the number of content revision to keep.

3.Is it possible to change the directory of all updates?

NO u cant change its will be default.

4.If I want to delete manually old updates from \Program Files\Symantec\Symantec Endpoint Protection Manager\Inetpub\content , and another liveupdate is launched,did it downloads updates delated?

Don't delete just change the setting SEPM will automatically delete the old ones.

This setting is available in 

SEPM-->Admin-->Servers-->Local site--->Properties-->Liveupdate

Under Disk space management 

when I launch SEPM, liveupdate is automatically started,and put downloads in \Program Files\Symantec\Symantec Endpoint Protection Manager\Inetpub\content , In SEPM-->Admin-->Servers-->Local site--->Properties-->Liveupdate in configured to take update each 4 hours.I selected only viruses updates,but I have more that 4Gb in content's folder!
process of LU are also launched

The first LU is doing automatically when SEPM in launched?

How many contents revision you are keeping by default it is set for 3 & with 3 contents the size of your content folder should be around 1 GB i think you are keeping around 10 contents.

The option to keep the content revision is under

SEPM > Admin > Server > local site propertis > liveupdate tab you will get the option to keep the content revision.

Under Liveupdate tab towards bottom you will find Disk space management, you can select the number of revisions to keep make appropriate selection which you delete the definitions more than number of revisions.

Regards,

Go to

SEPM-->Admin-->Servers-->Local site--->Properties-->Live update

Under Disk space management reduce the no. of content revisions to keep (it is better to keep 3).Check the languages you selected and also check the content types to download. Ensure you made no unnecessary selection.

Extract from http://service1.symantec.com/SUPPORT/ent-security.nsf/docid/2009012721190648

Change the number of content revisions stored by the SEPM database to at least 42

• This allows SEP clients which are out of date by approximately 2 weeks to still get incremental content updates.

  Note: Increasing the number of content revisions for the Symantec Endpoint Protection Manager will increase disk space usage in the SEPM install directory by approximately 3 GB per 10 content revisions stored. 42 Content Revisions would use about 10-12 GB of storage space on the drive where SEPM is installed to store updates.