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 To be able to work successfully with Proxifier, you should understand the 
  term 'proxification'. Proxification means processing a network connection in 
  such a way that it works through one or more proxy servers. For client applications 
  the process of proxification is absolutely transparent, it means that the application 
  does not know that its connections work through a proxy server.
  Note: only TCP/IP connections are supported.
Proxifier can work in two modes:
By default, Proxifier processes all connections automatically after the installation. 
  (Except loopback connections).
  To specify the connections that should be (or should not be) proxified automatically, 
  please create one or several Proxification Rules.
If you don't want to have all connections proxified automatically by default, 
  please click Options -> Proxification Rules -> Process Only the 
  following.
  Note: These changes will affect only newly established connections.
Now to tunnel an application, right-click its icon shortcut and select the Proxifier item in the context menu:
