Two problems may be generating your problem.
To find what is login, using:
gcloud auth login
1. You haven't application default credentials
If you have a recent version of gcloud you will get:
WARNING: `gcloud auth login` no longer writes application default credentials.
To make your local application use your credentials you need to do (ref):
gcloud auth application-default login
If you don't see this warning consider updating gcloud, with:
gcloud components update
2. You haven't defined your project
After login, you should see:
Your current project is [project-id].
Once again two solutions:
a. Associate a project
If you are not seeing this, do (ref):
gcloud config set project PROJECT_ID
b. Use global --project
flag in the call
In your command associate a project:
.\cloud_sql_proxy -instances=project-id:region-name:instance-id=tcp:3306 --project=project-id