I had an issue with the Silverlight WebClient class, in that a security error is thrown if you are inside a corporate network and your browser uses a proxy server address to connect to the internet.(in IE, tools > Internet options > Connections > LAN Connection). You’ll notice that because Silverlight is a cut down version of the CLR, there is no ‘Proxy’ property you can set on the WebClient class.

The work around: instead of using the Silverlight WebClient class, I had to create a WCF service in the hosting ASP.NET website and use the normal WebClient class in System.Net, which enabled me to set the Proxy address:

[OperationContract]
public string GetRssFeedPosts(string url, string proxyAddress) {
WebClient client = new WebClient();
if(!String.IsNullOrEmpty(proxyAddress))
client.Proxy = new WebProxy(proxyAddress);
return client.DownloadString(url);
}

Phil