Proxy only client

How would I go about making a 'vanilla' client that can connect to a proxy?

I remember years ago the way to connect to a proxy would be to add an entry to the hosts files, however that hasn't worked for a long time.

Is there a similar method that I can use to connect to proxy or do I have to compile my own client that can connect to proxy?

Unfortunately using this method the client crashes on startup.

E: Oh, hold on.. it would appear that MPGH censored the URLs in the code. brb
E2: Alright disregard what I said. Thanks for the link