A proxy helper application, or "socksifier", will make your game or application use the HTTP or SOCKS protocol to connect to the Internet through Your Freedom instead of connecting directly. You need these programs when your game or application does not support HTTP or SOCKS proxies directly and you don't want to or you cannot use OpenVPN mode.
Check out the links on the left hand side for configuration details for common socksifiers. The list is by no means complete.
FreeCap and SocksCap are free (SocksCap only for non-commercial use) and relatively easy to use. Proxifier costs money and is a lot more powerful, and more suited for the networking expert. ProxyCap is also a commercial application but it has the benefit to work in places where the others don't. Your choice, really. I'd say try FreeCap and if it works for you and your application, go for it. If not, give ProxyCap or Proxifier a try.
Note that the socksifiers are conceptually different. FreeCap and SocksCap work by pre-loading a library that replaces system calls (just like the ones common in the Unix world) and therefore need to run the applications from within themselves, while ProxyCap and Proxifier dig deeper into the operating system and replace system calls for applications started from anywhere. This means that ProxyCap and Proxifier can socksify applications that consist of multiple executables, something that FreeCap cannot do.