Thanks for your answer.
I already read the post of "SSH port forwarding capable application" before asking this question.
I was confused about the term of "server" before. After I re-read the post, I found that there are two kinds of server, one is SSH server, another one is Socks5 proxy server. Thus, I need to implement the Socks5 proxy server.
Bitvise Tunnelier can act as a Socks5 proxy server for IE and Firefox. However, I want to connect other web sites by C#, not by a web browser. Are there any methods to do that?