How to set Proxy Credentials in Visual Studio 2012

When you want connect Visual Studio 2012 to Team Foundation Server in a corporate company with a proxy server, and if this proxy requires your Credentials (login / password), you must use this procedure:

1. Open TOOLS / Extensions & Updates.
2. Click on Updates... in the left-hand menu.
3. There will be a failure notice on screen and a link to enter your credentials. Click it and enter them.
4. Close the Extension manager.
5. Click TEAM > Connect to TFS server... and it will work!

See this small video: