I have received this error many times over the last six months while I have been trying to run Azure examples. Most Azure examples assume that you are not running behind a corporate firewall or a proxy that requires authentication. This error is frustrating for an Azure newbie because you inevitably have to spend a lot of time working out some way to circumvent the problem.
The solution I have generally found that works is to edit the app.config file and add the following lines somewhere;
< defaultProxy useDefaultCredentials=”true”>
< proxy bypassonlocal=”True” usesystemdefault=”True”/>
See http://connectedpawns.wordpress.com/2013/10/09/windows-azure-biztalk-service-powershell-cmdlets-407-proxy-authentication-error/ and http://connectedpawns.wordpress.com/2013/10/03/azure-biztalk-services-unable-to-reach-servicebusnamespace-servicebus-windows-net-via-tcp-9351-9352-or-http-80-443/ for examples.
Today I have been trying this example that uses Windows store App and I am busted because i cannot find a config file to edit. I could not find a good way to get the Windows Store App to use the credentials that IE uses. In the end I had to use a proxy that does not use authentication.
I hate this error and wish that Azure examples would mention how you run them behind corporate firewalls and proxies.