A proxy for the whole computer?

[GDut0n]

I was wondering if there is some type of program that either proxies your entire computer connection, or like that you could pick which applications you want to proxy that don't have proxy built in?

I thought I used to use some program that you basically just dragged the program you wanted to be behind a proxy in to the proxy program and it would connect to the internet through the proxy...maybe I'm dreaming though.

Thanks in advance.