Windows – Simple proxy server for Windows that supports chaining proxies

I have used the NTLM Authorization Proxy Server, this does what you are looking for if your upstream proxy is MS ISA.

Although the situation you have described is not possible (running application can not override system routing table) you may have a couble of options:

• setting up a proxy on the network you are reaching by VPN and get your applications use that proxy as default. There are several proxies you can choose from depending on the protocol your application is using
• ssh to a host on the given network and exploit ssh-s service called as Dynamic Forwarding. This is basically a SOCKS proxy made out of your ssh client. You can then set your application up using this proxy or tweak it with tsocks (Transparent Socks)

man ssh_config

     DynamicForward
             Specifies that a TCP port on the local machine be forwarded over the
             secure channel, and the application protocol is then used to determine
             where to connect to from the remote machine.

             The argument must be [bind_address:]port.  IPv6 addresses can be specified
             by enclosing addresses in square brackets or by using an alternative syn‐
             tax: [bind_address/]port.  By default, the local port is bound in accor‐
             dance with the GatewayPorts setting.  However, an explicit bind_address
             may be used to bind the connection to a specific address.  The
             bind_address of “localhost” indicates that the listening port be bound for
             local use only, while an empty address or ‘*’ indicates that the port
             should be available from all interfaces.

             Currently the SOCKS4 and SOCKS5 protocols are supported, and ssh(1) will
             act as a SOCKS server.  Multiple forwardings may be specified, and addi‐
             tional forwardings can be given on the command line.  Only the superuser
             can forward privileged ports.