Blitz Apps using a proxy

How can, or could a blitz client application use a proxy?
I'm trying out the proxormitron proxy btw.
thanks for any info.

I found this example which is in VB, it shouldn't be too hard to translate to Blitz, I just don't have time to do it myself at the mo:

http://www.vbip.com/winsock/winsock_http_03_01.asp