is this just connecting to the sites like a normal web browser- port 80 http connection?
(wondering from a security perspective as I might try to connect at work behind a strict firewall that may not allow all traffic out.)
Also I think having it update once every one to five minutes is probably fine.
Unless you are doing real-time trading the price of BTC moving over five minutes is probably not that much to cause any issues.
The gadget is using Internet Explorer in the background, with all your current IE proxy and other settings, so it should work for any URL that is not blocked by your company firewall. Depending on exchange, this is usually either http (port 80) or https (port 443) GET connection, which are usually enabled by default unless specifically blocked by your network administrator. If you can access URL in browser, gadget will also be able to access it.
And you're correct, by default gadget updates every 10 minutes (mining defaults) which is enough for non-traders, and if you choose trading setup it will update once every minute, which can be changed to less. Exchanges usually have minimum period between requests that you should respect while setting up update frequency.