Is there any program that you put a proxy on it and all the connections from your computer will be through the proxy?
when I say all I mean FTP,HTTP.all ports etc

or how can I connect to a windows remote desktop (terminal services) through a proxy?

To answer your second question, you could socksify it. Check out sockscap, freecap or google a bit for a few others

when you create a new internet connection
in the settings somewhere you can add in a proxy
and your computer will be
covered by what ever proxy
and thats everything
http
ftp
what ever

I can't success to connect to a remote desktop server through HTTP Proxy..
no matter with what program
got any solution?

get sockscap and look for a socks 5 proxy. Then add the mstsc.exe to sockscap and you will connect to the remote desktop over your proxy.

Of course you can't use a http proxy to connect to a remote desktop....

about your first question:
with e-border driver you can route your whole system through a socks proxy - all ports, all programs etc! it's already old and not further developed, however it still works fine with current windows versions and programs!

you can if the proxy supports https tunneling via the CONNECT method, but not with sockscap.

what's the best socks5 scanner?

If you have Windows XP, In internet explorer, click on the tools > internet options menu and choose the connections tab. bottom of the window has a button that says "lan settings" (click it) and you will see a check box to setup a proxy server. check the box that says "use a proxy server for your lan". Enter your proxy and port information. Then click the "advanced" tab and you can configure the proxy for HTTP, FTP, etc. This should do what you need but in terms of a "catch all" by default proxy you will need use some third party program/driver that some others have already suggested. good luck

use a portscanner (port 1080) or a tool that grabs socks/proxylists from google.
for verifying use advanced administrative tools (aatools), it has the advantage that you can enter the "target", meaning against which ip and port (depending on how a socks proxy is configured it won't allow every port, most tools i've seen only check if it's a socks proxy, don't know how exactly, however if you can't connect to port x and you need to, these tools are useless, therefore also aatools!).