SharePoint 2010 RSS feed and TMG: “Proxy Authentication required” error

Problem:

When you configure a webpart for RSS feeds in a SharePoint 2010 site, you receive the following error:

ProtocolError occured trying to complete the request. The server returned a status code of : ProxyAuthenticationRequired and the status description is : "Proxy Authentication Required ( Forefront TMG requires authorization to fulfill the request. Access to the Web Proxy filter is denied. )"

Solutions:

There are two things you can do, but maybe just one will work. In my case, solution 2 was in the end the only solution after testing and investigating half a day.