Ah I thought about what i had written and was on my Dad's PC (visit home for Xmas, vaguely aware i work in IT so everytime i am here i am faced with a load of stupid questions). anyway, i realised that you meant the actual application rather than viewing from the browser. However, this is still possible.
Find a suitable socks proxy and in the connections tab on IE enter the proxy server Ip and port number. Doing it in IE should set proxy as default for all programs. including Iplayer.