Make application's data being sent through a proxy

Hi, I've got an application that only sends http requests and I wanted to send them through a proxy. I don't have access to the source code though, so is there any way I could do this? And if I had access to the source code, how would I do that? I didn't find much on google...

EDIT: Ok I think I figured it out. I'm gonna explain for anyone who may have the same question (I wish everyone did that). After sniffing firefox's packets when using a proxy, I saw that it sends the normal request to the proxy, but with the full path (example: GET http://www.google.com/index.php instead of just GET /index.php). Now I'm gonna make a DLL and substitute the app's WSASend calls with my DLL function.