TFS: Unable to connect to this Team Foundation Server

When using Visual Studio 2008 to connect to TFS server from a client machine, I got the following error.

Microsoft Visual Studio

TF31002: Unable to connect to this Team Foundation Server: mytfsserver.

Team Foundation Server Url: http://mytfsserver:8080.
Possible reasons for failure include:
- The Team Foundation Server name, port number or protocol is incorrect.

- The Team Foundation Server is offline.

- Password is expired or incorrect.

For further information, contact the Team Foundation Server administrator.

Further investigation shows that the same user can connect to the server from other machine, and other user can connect to the server from the same client machine. All the users and the server reside in the same domain. It must be the setting for that user on that client machine.

Because Team Explorer uses IE controls behind the scene, I opened the IE options and found that the LAN setting has configured to use proxy. After unchecked the setting, VS2008 has no problem connecting to the TFS server.