If your operating system is Windows 95, most likely you don't have any service packs installed.
You will need to download Winsock2 update: here and install it.
If your operating system is NOT Windows 95, you may need to reinstall it.

If you find a socks2http.dmp and/or socks2http.dmz file in the socks2http installation directory please compress it and send it to help@totalrc.net. If you attach your log file, recorded with log level of "more details" it will provide more data for troubleshooting.

When I run the program it complains that it can't find WS2_32.DLL or crashes is mentioned on: HttpTunneling