how to program through proxy?

my computer is in a LAN,so my IE is set a proxy(eg:192.168.0.1,it has another ip to visited internet) to visit Internet, and i know that in Internet ,there is a IP (111,222.111.222,port 8080) can be used as a http proxy.if i want to visit a url just like www.abc.com,how can i program to visit www.abc.com through my proxy() and another proxy (111.222.111.111)?

One solution is via winsock. First connect to the proxy. Then connect to the web server.

Kuphryn

thx,but if i via winsock i could not control the soft on the proxy, i do not want any other soft but my soft to do it,just connect to my LAN proxy(192.168.0.1) ,then web proxy(eg 111.222.111.222) ,at last to the target (eg.www.abc.com)