It used to be so easy in vj++ and java, to set socks proxy for sockets:
Properties p = System.getProperties();
p.put("socksProxyHost",host);
p.put("socksProxyPort",port);
Socket skt = new Socket("hello.com", 81);
If you run the above code behind socks proxy server, it worked so well in
vj++. In fact, vj++ program can make use Internet Explorer socks proxy
settings and you don't have to set System.getProperties().
Unfortunately, the above code no longer works in vj#. Any attempt to open
sockets fails if your PC is setting behind a socks proxy server.
Will someone from Microsoft help me
Regards
Babu

setting socks proxy option - .NET migration headache
5Rock
I tried running basic socks code on my machine and this kind of worked for me.
Can you check following things:
1) Is someone listening at hello.com at port 81 for sure
2) Is there some firewal issue at the server end. XP SP2 has some additional firewal checks.
If you can post Exception which you are getting, we can look at it further.
Thanks,
Varun