This method may avoid the need to hard code or configure proxy credentials, which may be desirable.
Put this in your application configuration file - probably app.config. Visual Studio will rename it to yourappname.exe.config on build, and it will end up next to your executable. If you don't have an application configuration file, just add one using Add New Item in Visual Studio.
<?xml version="1.0" encoding="utf-8" ?>
<configuration>
<system.net>
<defaultProxy useDefaultCredentials="true" />
</system.net>
</configuration>