For this I would recommend Proxifier.

Proxifier intercepts outbound connections made by Windows applications (I think it also supports Mac) and diverts them through a proxy or chain of proxies.

It will allow you also to choose which applications to intercept. It supports basic RFC1929 authentication (cleartext) over SOCKS5. It's also in current development and supported.

If you want to go for a secure auth mechanism (GSSAPI) I only know of 1 socksifier that can support that, and that's the OpenText SOCKS client.

Assuming you mean to access an external SOCKS proxy from windows, here you go. If you meant setting up a SSH server in windows, cygwin can do this with sshd.

In windows, cygwin makes this easy, but if you don't have cygwin already, here are PuTTY instructions.

Set it up like this:
replace port 2222 with 22 or whatever your port for SSH is. Leaving it blank should work too. 22 is the default, but I had it on a non-standard port. Replace 127.0.0.1 here with your actual address.

Here, LEAVE the 127.0.0.1 where it is. It is SUPPOSED to be there. You can change 8080 to whatever port you want the SOCKS proxy on.

Be sure to set the login username to whatever yours is. Mine is 'mobile' on my iphone, which I was using when i made this example for the apple stack exchange.

If you want, you can then save a profile for this, to avoid setting it all back up each time you have a problem. This is done in the 'session' section at the very top.

Linux/Unix/BSD/Solaris/OSX/HP-UX/whatever I'm still missing

You can run ssh -D 8080 user@address

Now, you need to open your web browser of choice; I use firefox, so I will use it as an example. I have used chrome and opera, but as I do not like them and do not currently have them installed, I cannot presently use it for an example. But you set it up as a SOCKS proxy, regardless of browser.

These screenshots were done with a forwarded X11, so the fonts are ugly, but pay it no mind.
First, go to the preferences window (tools -> options or edit -> preferences, depending on OS). Then, go to Advanced -> Network -> Settings....

Use the following configuration for the browser.

Problems and Solutions

Problem:

My app doesn't allow setting a SOCKS proxy.

Solution:

I have had this problem with games like Minecraft. Here's some fixes.
For minecraft, I added a argument to ssh. I regularly play on the nerd.nu reddit minecraft servers (reddit.com/r/mcpublic). Since minecraft 1.6, SSH tunneling and SOCKS proxies set as command line arguments haven't worked. You used to be able to add java parameters -DSocksProxyHost=127.0.0.1 -DSocksProxyPort=8080 and it would work. Now, however, the solution isn't quite as nice, but it does work.

When you start ssh, instead of ssh -D 8080 user@address, do
ssh -D 8080 -L 127.0.0.1:25565:p.nerd.nu:25565 user@address.
Then, when you want to connect to the server, instead add the URL 127.0.0.1:25565 to your list of servers! The remote server will appear on 127.0.0.1/localhost thanks to the miracle of SSH tunneling!

For other programs/games, the same rule applies. If you can't set a SOCKS proxy and nothing else works, just add -L 127.0.0.1:<port>:<remote URL to access>:<remote port>.

There is nothing forcing you to use the same port on 127.0.0.1 that you would normally, so I could have, for example, mapped p.nerd.nu:25565 to 127.0.0.1:1025 and the game wouldn't care as long as I specified the port. Not all programs are so lenient, but it's useful to remember.