1) Download FreeCap and the vidalia bundle and install it.
2) Start vidalia (green onion in the systray) and drag&drop or add Steam.exe to freecap.
3) Go in freecap to settings and switch default proxy to 127.0.0.1 with port 9050, activate socks 5 and apply.
4) Now you can run steam and it should work with proxy!
I think its for if u were using a program that constantly does stuff with steams connections... Like p3ng3ls account hacker...or keysteam.. I think that steam can ip ban u after many multiple connections