Step-by-Step: Set up ProxyCap to Work with Apple's VNC Client
Add proxy server
In the system status bar, click the ProxyCap icon and choose Configuration.
Click the Proxies category.
Fill in the proxy settings. Any working proxy will be OK.
Create rule for Apple's VNC client
Click the Rules category.
Click Specify in the Application section, then click the Browse button.
Navigate to the /System/Library/CoreServices and select Screen Sharing.
Press the OK button.
You are done. Click OK to save the configuration.
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