do you mean you have a program that is trying to access the internet directly, and is not configurable to use a proxy? and now you are looking for a 3rd party program to to that?
Well, afaik that does not exist. AVG6 had no proxy option, and that was it for me. manual update.
also, the whole point of a proxy server is to monitor and regulate internet traffic. most new program versions these days support a proxy server. can you update the software (whatever it is)?
good luck. EJ.