Winsock secondary connection thru proxy

I'm using VB6 and the winsock control. I know how to connect to a proxy and retreive web pages thru this proxy, but what if I wanted to connect to a secondary proxy(thru the first), then tunnel information thru both of those proxies?

Like I said, I can get the first proxy to connect, but I'm not sure how to make the secondary connnection to the second proxy thru the one I'm already connected to.

Is this even possible, and what is the term for doing this so maybe I might be able to search google for it.

Thanks. :)

Could you post the code to connect to and retrieve pages from a proxy please, I've just asked that question a few threads up.:D

well wouldnt it have to do it serverside? or you would need another control surely, you can only use one socket with the control can't you?