Connect-EXOPSSession behind proxy

With the new Exchange Online Remote PowerShell Module you can connect to Exchange Online with MFA enabled on your account.
But what if you are behind a proxy and are unable to connect?
Chances are that there is one process that goes directly to the internet:

When trying to connect you get the error below:

This PowerShell module allows you to connect to Exchange Online service.            
            
To connect, use: Connect-EXOPSSession -UserPrincipalName your UPN            
            
To get additional information, use: Get-Help Connect-EXOPSSession            
            
PS C:\Users\> Connect-EXOPSSession -UserPrincipalName username@yourtenant.onmicrosoft.com            
New-ExoPSSession : Connecting to remote server outlook.office365.com failed with the following error message : WinRM ca            
nnot complete the operation. Verify that the specified computer name is valid, that the computer is accessible over the            
 network and that a firewall exception for the WinRM service is enabled and allows access from this computer. By defau            
lt the WinRM firewall exception for public profiles limits access to remote computers within the same local subnet. Fo            
r more information, see the about_Remote_Troubleshooting Help topic.            
At C:\Users\username\AppData\Local\Apps\2.0\CCA4XODV.QGQ\BBNHW64J.DHE\micr..tion_c3bce3770c238a49_0010.0000_a5ac7e7ccec31            
8ba\CreateExoPSSession.ps1:179 char:22            
 PSSession = New-ExoPSSession -UserPrincipalName $UserPrincipalName -C ...            
                ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~            
     CategoryInfo          : ResourceUnavailable: (:) [New-ExoPSSession], PSRemotingTransportException            
     FullyQualifiedErrorId : System.Management.Automation.Remoting.PSRemotingDataStructureException,Microsoft.Exchang            
   e.Management.ExoPowershellSnapin.NewExoPSSession

We have to force all traffic through the proxy, the easiest way to do this is with netsh:

Check current settings for the PowerShell session:
netsh winhttp show proxy

Current WinHTTP proxy settings:

Direct access (no proxy server).

Set the proxy server:
netsh winhttp set proxy proxy.domain.lan:8080

Current WinHTTP proxy settings:

Proxy Server(s) :  proxy.domain.lan:8080
Bypass List     :  (none)

Reset to no proxy server settings:
netsh winhttp reset proxy

Current WinHTTP proxy settings:

Direct access (no proxy server).