Proxies using Winsock? How?

Hi,

I'm still new to Winsock programming, but I've written a simple app to connect to a server and send/recieve data. I need to be able to use several proxies to connect to the server. I have searched extensively on how to connect to a proxy to connect to the server but I have not been able to find anything. Could someone please point me in the right direction?

If you're talking about http proxy, you should just be able to specify a full URL in a GET command, like so:

GET http://www.microsoft.com/ HTTP/1.0