There are a few programs like Proxifier that can force an exe to use a proxy. There are a few others, too. But the sites all look a bit shady. I don't even trust Proxifier tbh... So I'd like to know how these programs work. How do they do it? Is there a WinAPI function that can be used to do that? Or do you have to actually inject code into the processes?
I was only able to find functions to change the global proxy of windows. But some programs don't care what the global proxy says, they always try to connect directly, even if it's not possible...
No, they do not apply globally and without root there is no way to force a proxy to be used by all applications. The reason the message you found is worded that way is that it is up to the app creator to respect the proxy settings and use them or do the wrong thing and ignore them.
Proxifier is based on LSP (layered service provider), but personally I never liked this technology because of often stability issues. However, besides LSP there are other possible approaches suitable to achieve the same functionality, you can find a short coverage of network filtering methods (including LSP) here: https://www.ntkernel.com/ndis-hooking-drivers-and-legacy-windows-systems/, however the document is a little bit out-of-date, I have written it in times of early Windows XP dawn and it does not cover WFP (Windows Filtering Platform), which replaced TDI, and NDIS Lightweight Filter, which replaced NDIS Intermediate and NDIS-hooking drivers. Both technologies were introduced by Windows Vista along with NDIS 6.0.
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