Most annoying project is to setup your environment. Especially when working with windows Azure and Firewall.
Here what I did to solve the issue with firewall proxy authentication.
Add this system.net settings on C:\Program Files (x86)\Microsoft Visual Studio 11.0\Common7\IDE\Devenv.exe.config
<defaultProxy enabled="true" useDefaultCredentials="true">
<proxy usesystemdefault="true" />
</defaultProxy>
