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:
ALT Image of an xml .NET config file to proxy an app. The contents are
<configuration>
<system.net>
<defaultProxy>
<proxy
proxyaddress="http://127.0.0.1:8080"
bypassonlocal="false"
/>
</defaultProxy>
</system.net>
</configuration>