Sending Connect request

Hi! I have a client application which is running behind a proxy server. I want to connect to another server application in another domain.I am using Http to connect to the server.The problem is how do I pass the information across the proxy to the server and get the response back.I have read of CONNECT method in the Request header, but don't know how to implement it. What I could get from reading isStep 1: Send a http request to the proxy with only CONNECT method i.e. the header will only contain connect method and nothing elseStep 2 : Receive the response from the serverStep 3: Send the Get request to the server, containing other fields as host, Accept etcStep 4: Receive the response from the server Is my thinking correct. Can you suggest me something on the same. Regards,Rajeev     

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