pickaproxy.com FAQ: can other programs like Skype use pickaproxy?
In general, yes. Most programs have some way of setting "proxy settings", usually under Advanced Connection settings or something similar.
Skype on Windows uses Internet Explorer proxy settings by default. You can also go to Tools | Options | Advanced | Connection to change the proxy settings to anything else.
ICQ proxy settings are under Preferences | Connections | Firewall.
Trillian proxy settings are under Trillian Preferences | Advanced Preferences | Proxy Server. Trillian can also be setup to use the same proxy settings as ICQ or AIM (AOL Instant Messenger) or MSN Messenger or Yahoo Messenger.
Windows Messenger proxy settings are under Tools | Options | Connection.
iTunes proxy settings are not available to configure individually. iTunes on Windows uses the same proxy settings as Internet Explorer: Tools | Internet Options | Connections | LAN Settings. iTunes on Mac OS/X uses the system proxy settings: Apple | System Preferences | Network | Proxies.