If the program itself cannot use a proxy server, it can "be learned" to do this. To do this you'll need some additional programs depending on the type of proxy.
You need to use program socksification. SocksCap will socksificate any program i.e. redirect all requests to the socks proxy. You can get this program here.
To make a program work with a proxy server proxy it's necessary for the proxy server to support HTTPS protocol. Install a local SOCKS proxy server and redirect all requests to it on HTTP proxy. For socksification you need to use SocksCap, for tunneling SOCKS requests through HTTPS proxy server - use program Socks2HTTP.
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