My problem:
* Installed Spotify for the first time on work machine.
* Work has very restrictive default proxy, which bans Spotify.
Thankfully being a developer in IT we know of a few more leniant alternative proxies....
Further problem:
* When launching spotify you need to log in with no option of defining the proxy to be used.
* And the error message just say unable to log in.
Solution:
* Unplug the the network cable
This prompts an error message with allow you to change the proxy settings.
Remember to plug in your cable again!