Proxies, VPNs and Applications' Ports

My MT is connected into a wireless network. At the moment i have a VPN client installed on MT which connects me to another guy’s MT with internet connection. Now i want to add a proxy client in MT and then separate my applications

From proxy i want only to route my VOIP telephone (adapter), games, and web browsing!
From VPN mostly downloads (when i download)

How can this set up?