I am able to record a simple session (like getting the home page of
Microsoft.com), but when I run the test, I get the following message:

System.Net.WebException: Unable to connect to the remote server --->
System.Net.Sockets.SocketException: A connection attempt failed because the
connected party did not properly respond after a period of time, or
established connection failed because connected host has failed to respond
  at System.Net.Sockets.Socket.EndConnect(IAsyncResult asyncResult)
  at System.Net.ServicePoint.ConnectSocketInternal(Boolean connectFailure,
Socket s4, Socket s6, Socket& socket, IPAddress& address, ConnectSocketState
state, IAsyncResult asyncResult, Int32 timeout, Exception& exception)
  --- End of inner exception stack trace ---
  at System.Net.HttpWebRequest.EndGetResponse(IAsyncResult asyncResult)
  at
Microsoft.VisualStudio.TestTools.WebStress.WebTestTransaction.ResponseReceived(IAsyncResult result)

If I record and run a test of an internal server (internal to our network),
it works fine.  The only time it doesn't work is if one of the pages uses an
image from another website (external to our network).  Once I hit one of
those pages in my script, I pretty much lock up.  I'm assuming there's a
place where I haven't put in the proxy information correctly, but I can't
find it.  There doesn't appear to be loads of documentation on this product
(or articles for that matter), but I'd appreciate any help that can be
provided.

Thanks!