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;
<proxy bypassonlocal=”True” usesystemdefault=”True”/>