Azure Storage Explorer Proxy error

When working with tools which are dealing with Microsoft Azure platform, you might sometimes experience proxy issues. 
One of prominent error messages,,which indicates proxy issues is following one:

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

This basically means that your application is trying to access Azure platform, but it cannot succeed, because proxy is seating in between and it requires authentication.
In other words you have to tell your application to use proxy with security context of the currently authenticated user.

Depending on the application solution might be different. For example, if your application is .NET application, then you will need to edit the config file.
Following snippet shows how configuration file should look like:

<?xml version="1.0" encoding="utf-8"?>

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

</system.net>

configuration>

The configuration shown above enforces using of default proxy, which is typically defined in Internet Explorer.