Using sockets with a HTTP proxy in Delphi

I have written an application that communicates with sockets and retreives and sends information to a webpage (with PHP and Login). Now i wanted to use it at work, but I realised that in the office there is no direct connection to the internet. My working computer connect to the internet through a http proxy. So I wanted to make it possible to set a proxy and a port in my program. But I cant find any example programs in this. I have told that it can be done by sending some commands to the proxy and using CR/LF. But I need more specific details on this. So I need an example source or an exmplanion on how to connect and retrieve and send information to a webpage through http proxy with delphi socket components. Or I need a component that can be configured to use a proxy.

Thanks in advance.