Lately I was working on Windows Azure with PowerShell at a customer. As most of my customers have a proxy, I had some issues with the cmdLets to get to Azure. After searching the web I found a nice solution to use to get authenticated with the proxy for PowerShell.
Start your PowerShell with the following command or use it in your scripts
$proxy = [System.Net.CredentialCache]::DefaultCredentials
[System.Net.WebRequest]::DefaultWebProxy.Credentials = $proxy