SYMPTOM:
'The request failed with HTTP status 407: Proxy Authorization Required.' error message appears when trying to connect to Strategy Office, like shown in the image below.

A connection to Web Services at 'http://<servername>/StrategyWS/MSTRWS.asmx' could not be established: 'The request failed with HTTP status 407: Proxy Authorization Required.'. Do you want to connect to a different Web Services URL?