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My 'LocalClient' app is in a corporate LAN behind an HTTP proxy server (ISA). The first Azure API call i make - CloudQueue.CreateIfNotExist() - causes an exception: (407) Proxy Authentication Required. I tried following things:

As per MSDN, an HTTP proxy server can be specified in the connection string only in case of Development Storage (see http://msdn.microsoft.com/en-us/library/ee758697.aspx):
UseDevelopmentStorage=true;DevelopmentStorageProxyUri=http://myProxyUri

Is there any way to connect to the Azure Storage thru a proxy server?

A: 

The custom proxy solution (the third thing i tried as mentioned in my original question) worked perfectly. The mistake i was doing earlier was not putting the <configSections> element at the beginning of <configuration> in app.config as required. On doing that, the custom proxy solution given here solved my problem.

amolbk