I'd like to show you how to easily set up a Socks 5 proxy server and use it on a large number of applications.
I used only two applications - PuTTY and FreeCap on client side and OpenSSH on serverside.
So OpenSSH is a SSH server, most commonly used to log in to a remote computer, but you can also benefit from it by SSH tunneling.
PuTTY has an option to set up a proxy server on a local machine, and tunneling traffic from proxy to a SSH server. You can do that by executing putty with additional parameters:
putty.exe -D 8080 -P 22 -ssh sshhost.com
-D option is for binding a proxy server port
-P is the port of the SSH server
-ssh is the hostname of the SSH server
when PuTTY starts you log in as you normally would, and when the connection is established, you have a proxy server running on your machine.
By changing the proxy settings in your favourite browser to 127.0.0.1:8080, you can check your IP and you will see, that you're using the SSH server's IP address.
Now, some applications don't have proxy settings, so that's where FreeCap comes in handy. It routes traffic from the application you want to use to the proxy server on your machine.
I haven't got ALL aplications to run through FreeCap, but it's a good start, since now I can use more applications to access the internet than before, on my extra-hard-firewalled internet conection in the student dormitory.
You should give these sites a read: