When you connect to Azure, e.g. the Azure ServiceBus Explorer to the ServiceBus (https://code.msdn.microsoft.com/windowsapps/Service-Bus-Explorer-f2abca5a), you will probably deal with proxy issues. I sometimes got the following error:

An error occurred attempting to access the account:
The remote server returned an error (407): Proxy Authentication Required

This error pops up if you want to connect to Azure and there is a proxy between you and Azure and this proxy requires authentication. You can simply resolve this by editing the App.config and add the default proxy configuration to it:

<configuration>
  <system.net>
    <defaultProxy enabled="true" useDefaultCredentials="true">
      <proxy usesystemdefault="true" />
    </defaultProxy>
  </system.net>
<configuration>

In my case the final app.config of the ServiceBus Explorer – line 59-66 – looks as follows:

<system.net>
  <connectionManagement>
    <add address="*" maxconnection="50" />
  </connectionManagement>
  <defaultProxy enabled="true" useDefaultCredentials="true">
    <proxy usesystemdefault="true" />
  </defaultProxy>
</system.net>