http://ipcc-ar5.dkrz.de/help/download-help.htm#MyProxyLogon

"[...]Trouble Shooting
If you are having problems getting a MyProxy credential, try one of the following:
# Use the MyProxyClient python package.

$ myproxyclient logon -s <myproxy-server> -l <username> -o credentials.pem

# Existing users of the Globus toolkit can use the tool myproxy-logon

$ myproxy-logon -s <myproxy-server> -l <username> -o credentials.pem

[...]"

Neither of this will work (and has already caused confusion in some users. The requirement should be:
mkdir -p $HOME/.esg/certificates
(bash)
export X509_CERT_DIR=$HOME/.esg/certificates
export X509_USER_PROXY=$HOME/.esg/credentials.pem

myproxy-logon -s <myproxy-server> -l <username> -o $X509_USER_PROXY -T

or something alike. (this should be properly checked)