I want all web traffic (HTTP, HTTPS and DNS - Are there any others?) goes through a local application and goes to a server application and from there goes to internet. How can I do this?
I have wrote an Async TCP server and I know socket Async programming in C# using SocketAsyncEventArgs (I am not a master with just one project but I think I can understand some basics).
The only way to do this is to write a Windows network driver - you cannot do this from userland. This is how VPNs work.
There are userland tunnels you can develop that tunnel a single connection, but they require the user to configure their applications to use it first, so you cannot unilaterally redirect all network activity.
From your question, I'm guessing you're not too familiar with Winsock internals or writing kernel network drivers, so for now I'm going to say I think this is a take above your level of competence right now.
However if you'll settle for a bit of an impure approach, you can implement a SOCKS proxy easily enough, but this requires configuring browsers to use your proxy server - at least this way you'll tunnel HTTP and HTTPS, however I'm uncertain about whether or not browsers use SOCKS servers for DNS or if they use the OS-provided DNS functionality.