NOTE: This solution is tested for “Squid Proxy Server with Authentication”. For other proxies besides Squid Proxy for Windows, it might not work. Try this out and do comment if it works, to help other readers.
UPDATE: Windows 8.1 users need only step 1 (CCProxy setup) to make store work behind proxy. 
If you are using Windows 8 and having a proxy server for Internet access then you may also be having trouble with Windows Store. Windows Store and default metro apps doesn’t work behind any proxy server. The apps will simpy fail to connect to Internet due to proxy settings. So How can you make apps to use proxy settings for Internet access? Here is a simple step-by-step tutorial for enabling Internet proxy settings for store apps.

Go to www.youngzsoft.net and download trial version of CCProxy. After you have installed CCProxy on your PC , go to Options->Advanced->Cascading. Under the Cascading tab enter your server’s proxy address, port number and authentication details (if any). And hit OK->OK. Finally click on Start button to start CCProxy server.

By default Windows apps are configured to block access through local proxy server. You have exempt all apps using loop back utility. Download Loop Back Exemption Utility and run the program. Press Exempt all button to exempt all apps from default settings.

– Press Windows + R to start Run. Type gpedit.msc and hit Enter. Now local group policy editor should open. Now on the left hand side you will see a list of policies.

– Go to Computer Configuration -> Administrative Templates -> Network -> Network Isolation. You will see five polices listed under Network Isolation.

– Double Click on Proxy definition are authoritative and Click Enable radio-button to enable proxy. Hit Apply Button at bottom.

– There are two settings with same name: Internet Proxy server for apps. Both settings have same procedure for enabling them. Use the following way for both to enable them.

Double click on Internet Proxy server for apps and click Enable radio button. When you click Enable radio button, Domain Proxies text-box becomes active. Enter your proxy server address and port number in the format   ServerAddres:PortNumber. Ex: 144.125.1.103:3215

If you follow all three steps correctly, your apps and Windows Store should work behind your proxy server.

1. This tutorial assumes that you have Windows 8 Pro version. Other lower versions of Windows 8 may not have gpedit.msc. But you can get two files (gpedit.msc and gpedit.dll) from your friend having Windows 8 Pro and paste it in your PC. And then you can use this tutorial.

2. You don’t need to buy CCProxy. The trial version just works fine. Not need of cracked version too.