Easiest way to use a proxy

OK, I know how to use a proxy on a Mac, what is the easiest way to use a single proxy on a PC?

I HAD this little app which I ran on my old PC and I just entered in my proxy IP and from then on, I was connected. I had to reformat everything and lost/forgot this handy app. I think it was a temp firewall something or another.

I want to be able to use ANY app with my proxy and not just Firefox. (I know how to do that.)

Take a look at this: