What's the application?
If it's
truly a C application that talks directly to a socket, then it may not support HTTP proxies (and many other features) at all; Such applications are rare, because corporations usually will not support deployment of applications that do not support proxies.
You'll need to check the documentation to see whether the developers offer a means of setting a proxy. If not, you can either run Fiddler as a Reverse Proxy, or you could use a "proxifier" type application to force traffic through Fiddler.