I’m actually setting up an environment around that (VSTS 2010 Beta1 Team Explorer and TFS in CODEPLEX), and there is a problem when trying to connect your VSTS.2010 client to the TFS in CODEPLEX. But there’s a workaround you can follow here:

(Thanks Aaron)

http://blogs.msdn.com/ablock/archive/2009/05/20/for-tfs-2010-beta-1-resolving-tf31001-the-servicepointmanager-does-not-support-proxies-with-the-https-scheme.aspx

or here, (Thanks Kirill)

http://blogs.msdn.com/kirillosenkov/archive/2009/06/22/visual-studio-2010-beta1-tfs-https-tf31001-the-servicepointmanager-does-not-support-proxies-with-the-https-scheme.aspx