How to make programs connect through proxy server?

Okay, so, i'm connecting to a proxy server set up at a home location through my schools internet. However, some programs (Steam) won't connect to the internet through the proxy. How do i set a program like Steam to connect to the proxy server i have set up instead of the schools internet? Like how i went to tools for internet explorer and pluged in the proxy server under connections, is there a way to do that for any program? if so, how?

How to make programs connect through proxy server?
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