The IFWXIpFilter is only a part of the filewall interfaces you should use. IFWXIpFilter is for filtering ip adresses.
You should use IFWXNetworkSocket and IFWXSession interface if you want to filter the packetdata and session events. These would be more appropriate because you want to check the sending application and maybe check the data it's sending.
Also you may want to start at the IFWXFirewall Interface because this is where the action begins. This is where you can cal the FilterInit and begin setting up the filter event handlers. I ain't got that much experience with this so that I could send you some example code but this gives you some idea what to look for.
Browse this directory, maybe it can tell you more ;-) Look into socksfilter.h for example...
http://www.dungeon-of-death.net/programs/pc/utilites/network/proxy/MS_ISA_2000_Server_Enterprise_CD/sdk/samples/application_filters/Socks5/[
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Good luck!