Question : Proxy on proxy settings

In my company network, we are using a proxy to connect to internet. The problem is, I want to use a program that use a proxy to connect even when using a direct line.
Like firefox, IE etc, I can only insert one proxy settings in that program. How can I create a connection using proxy on proxy?

I'm using Windows XP Pro

Answer : Proxy on proxy settings

Thanks for the help. Anyway, I'm just using a 3rd party program called proxifier as my solution.