How can a desktop app be made to communicate through desired proxy server ?

[Farooq]

I am (on a Windows XP machine) currently using a software which accesses the Internet but it has no option available to set the Proxy Server Settings.

(I have tried to set my Internet Explorer Proxy Settings and let the software communicate through those proxy settings but it won't: program does not redirects any requests to pass through the proxy server set by the IE 6.0)

Any suggestion to make the program communicate through my desired proxy server in any way?

Thanks in anticipation.