Host connects to internet through proxy. VMWare OS on that host can't use that proxy server directly(blocked). So it should connect to host proxy, then the request should be forwarded to proxy. Is there such software?
3 Answers
If I understand what you are looking for and NAT isn't working for you look into Fiddler. It can act as a proxy and then forward as you need but you might want to verify you can run it with your IT department as it is often considered hacking software as it can monitor all http and https traffic for computers pointed to it.
rinetd
is a package available in many Linux distributions (and can be downloaded for Windows too) that appears to do what you want. See http://www.debian-administration.org/articles/601 for a description of how to use it.