Press the "setup" button to change properties after the program have been started.
In the proxy properties we choose "firewall" and "with proxy". Here in version (ICQ 4.1 Lite Build 1718) the proxy type "Socks4" is recommandet, but there was a gui problem because HTTPS was set as Socks4. So please try in both combinations. Now set as host 127.0.0.1 and as port the Socks4-port 1080.