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Tunnel only one program (UDP & TCP) through another server

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http://serverfault.com – I have a windows machine at home and a server with debian installed. I want to tunnel the UDP traffic from one (any only this) program on my windows machine through my server. For tcp traffic this was easy using putty as a socks5 proxy and then connecting via ssh to my server - but this does not seem to work for UDP. Then I setup dante as a socks5 proxy but it seems to create a new instance/thread per connection which leads to a huge ram usage for my server, so this was no option either. So most people recommend openvpn, so my question: Can I use openvpn to just tunnel this one program throu (HowTos)