I was at TechEd and was involved in a conversation that thought the MSSCCI provider did not work with a TFS proxy.   I inquired internally and it is possible.   FYI the MSSCCI provider uses the same object model as VS 2005.  You can either run the VS 2005 and set it up or configure the registry.

Visual Studio 2005

Enable
reg add HKCU\Software\Microsoft\VisualStudio\8.0\TeamFoundation\SourceControl\Proxy /v Url /d http://myproxy:8081 /f
reg add HKCU\Software\Microsoft\VisualStudio\8.0\TeamFoundation\SourceControl\Proxy /v Enabled /d True /f

Query and Check
reg query HKCU\Software\Microsoft\VisualStudio\8.0\TeamFoundation\SourceControl\Proxy

Disable
reg add HKCU\Software\Microsoft\VisualStudio\8.0\TeamFoundation\SourceControl\Proxy /v Enabled /d False /f

For Visual Studio 2008

Enable
reg add HKCU\Software\Microsoft\VisualStudio\9.0\TeamFoundation\SourceControl\Proxy /v Url /d http://myproxy:8081 /f
reg add HKCU\Software\Microsoft\VisualStudio\9.0\TeamFoundation\SourceControl\Proxy /v Enabled /d True /f

Query and Validate
reg query HKCU\Software\Microsoft\VisualStudio\9.0\TeamFoundation\SourceControl\Proxy

Disable
reg add HKCU\Software\Microsoft\VisualStudio\9.0\TeamFoundation\SourceControl\Proxy /v Enabled /d False /f