HttpClient request throws IOException

It seems that this is caused by a recent security update for the .NET Framework: MS12-074: Vulnerabilities in .NET Framework could allow remote code execution: November 13, 2012 (KB 2745030)

It all boils down to the following code in the web proxy resolution:

[RegistryPermission(SecurityAction.Assert, Read=@"HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\.NETFramework")]
private static void InitializeFallbackSettings()
{
    allowFallback = false;
    try
    {
        using (RegistryKey key = Registry.LocalMachine.OpenSubKey(@"SOFTWARE\Microsoft\.NETFramework"))
        {
            try
            {
                if (key.GetValueKind("LegacyWPADSupport") == RegistryValueKind.DWord)
                {
                    allowFallback = ((int) key.GetValue("LegacyWPADSupport")) == 1;
                }
            }
            catch (UnauthorizedAccessException)
            {
            }
            catch (IOException)
            {
            }
        }
    }
    catch (SecurityException)
    {
    }
    catch (ObjectDisposedException)
    {
    }
}

As you can see it checks for a specific registry key mentioned in the KB article. Also you should note that the exception is caught internally, but you see it because you have enabled First Chance Exceptions in the debug options of Visual Studio.

If you want to not see this exception you should add the specified registry key with value 0:

Registry location: HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\.NETFramework  
DWORD (32-bit) Value name: LegacyWPADSupport
Value data: 0

and for 32-bit processes on 64-bit machines:

Registry location: HKEY_LOCAL_MACHINE\SOFTWARE\Wow6432Node\Microsoft\.NETFramework
DWORD (32-bit) Value name: LegacyWPADSupport
Value data: 0