Steps required:
1. Add the following to the machine.config:
<system.net>
<defaultProxy useDefaultCredentials="true">
<proxy usesystemdefault="False" proxyaddress="http://proxy.address" bypassonlocal="True" />
</defaultProxy>
</system.net>
2. Remove the defaultProxy from section from your web.config files.
PS. The machine.config to edit can be found at: C:\Windows\Microsoft.NET\Framework64\v2.0.50727\CONFIG.