I have configured Firefox to run through an SSH tunnel via SOCKS5 so that all HTTP traffic is encrypted. What happens if I am watching a video streaming over RTMP or opening an FTP site? Is this traffic also encrypted?
If you are connecting to the media through Firefox you should be safe. However, if you are using a separate application like a separate FTP client to connect to the FTP site you will need to configure that application to use the proxy as well. Pretty much it comes down to, each application has its own proxy settings and won't use the proxy unless you explicitly tell it to.
If you want most applications to use it, change the proxy options in your Internet Settings in the Control Panel in Windows. Most applications use those settings as their defaults.
Also, just as a precaution, if you are worried about traffic leaking out of the proxy, you should probably set up a firewall to block all outgoing traffic except for traffic bound for the proxy, that would be your safest bet.
I've had good luck with a program called ProxyFirewall, which monitors all outbound connections and asks which proxy to send them through. I believe the program is designed to anonymize your internet connection by sending traffic through multiple public proxies, but I simply set it up with just a single local proxy for my SSH tunnel and it works well.
The first time it sees a new type of connection, it asks how you want to handle it. Simply point it to a single (non-rotating) local ("open") proxy for the tunnel and voila!, that's it. The nice part is that you don't have to manually change any of the settings for each program. When you're done tunneling, simply close ProxyFirewall.
This is the only program I've ever found on Windows that will do this... I'd also be interested to know if there are any others.