Proxy While Not Browsing?

[MattTheMan]

Hello! I'm new here and new to proxies but I'm pretty educated about computers.

Is it possible to be behind a proxy while not browsing the internet but still connected to it? For example if I use a program that connects to online radio stations and rips it to the hard drive, can I be behind a proxy? If so, how would I connect to it? And if not, is there something I can get that would like automatically change my IP address every day or so? Is that even legal?

I ask because the program's use claims to be perfectly legal but in the EULA it states that the creator is not responsible if it breaks the legal. I'm skeptic because that seems kind of like LimeWire - perfectly legal as long as you use it legally, and if you don't then you can get sued.

[Terry]

Http proxies are only used to surf. Please use a socks proxy if you want to do other things such as connecting to FTP servers.

How to use a socks proxy:
http://www.my-proxy.com/content/Proxy%20Tools/SocksCap%20Full%20Tutorial%20with%20Pictures.html

Is it illegal to use proxies?
http://forum.my-proxy.com/viewtopic.php?t=514