AzCopy – behind proxy

There are some days in your life when you feel you would like to do something different in Azure than other days such as you want to create and upload your own VHD to Azure (instead of using VM images from marketplace). It seems this is a very hard challenge because you need a local virtualization environment (VMWare, Hyper-V, etc), you have to prepare your custom VM for Azure somehow, etc. But finally you are happy because you merely have to upload the VHD file to Azure and you can use your customized VM there.