It is fairly simple.
1) In putty after you have created a connection click the + beside SSH on the left.
2) Then click on Tunnels.
3) The easiest thing to do is create a dynamic port. Put in your port number (I use 8080).
4) Leave the "Destination" blank.
5) Make sure Dynamic is clicked in the selection
6) Click the "Add" button
7) Save your new profile.
Then, in your application, set it to use a proxy. Enter "127.0.0.1" as the Socks 5 Proxy and then enter port "8080" as the port number. This will tunnel all of your traffic for that application through your SSH connection.