How can you set proxy for all programs or games in Windows XP

There is no way to do that. Some games do not support gaming through proxies. The rest of the games utilize all variations of ports for their connections. Each PC has got 65536 ports. To support ALL GAMES, you would have to forward ALL PORTS to your system. Or you try to figure out the ports that are used by the games you want to play. It's not that easy - most programs use more than just one port. And they use more thant just TCP also (i.e. UDP)! So your worse case is a game, that uses 4 ports (for example 2 for data, 1 for voice and one for server data) on TCP and UDP. You can configure your proxy to support each single game, but it's a lot of work... Considering that, I cannot recommend to open up your system that wide. When forwarding all ports to your PC, you will have to firewall all traffic on your very own PC.