Sending a request to a proxy server
 

I'd like to know how to send a request to a proxy server. Is it done by headers like HTTP requests? For example I want to send a HTTP request to a web server through some proxy server. How is it done and can PHP (or any other web programming language) do that?

Just replace the path with a full URL in the HTTP request.

Eg:
"GET /index.html HTTP/1.0" is the request you send to a web server,
"GET http://www.linuxquestions.org/index.html HTTP/1.0" is the one you send to a proxy server.