A .NET app will probably hono(u)r the Windows proxy settings (a.k.a. WinINET or IE proxy settings). But that adds a lot of noise to Burp's history. You might be able to proxy just its traffic with the config file. For app.exe, create app.exe.config (if not there) and add:

Next week at @mandconsulting_ , we're dropping a new tool and blog post we've been working on. I hope you like secrets - and mass exploitation & disclosure of Fortune 100-500s on previously less-documented attack surface.