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:
- Open TOOLS / Extensions & Updates.
- Click on Updates… in the left-hand menu.
- There will be a failure notice on screen and a link to enter your credentials. Click it and enter them.
- Close the Extension manager.
- Click TEAM > Connect to TFS server… and it will work!
See this small video: