There is a console tool called plink shipped with putty it is more convenient and handy. Just type in:
Code:
plink -ssh 111.222.333.444 -C -N -l root -pw password -D 127.0.0.1:8080
And you have a socks on local port 8080.
111.222.333.444 is your SSH server IP
root &
password are login & password.
-C tells to enable compression
-N is not to start SSH session. If you don't use it (like article above) it'll cause many SSHs (those which are ran on routers) not to work. There is some checkbox in putty gui interface like don't start a session it is meant for the same. otherwise lots of servers (upto 40%) will disconnect and won't work.