Fiddler - the HTTP debugger

Fiddler is an HTTP debugging proxy, developed by Eric Lawrence, that logs all HTTP traffic between your computer and the Internet. Fiddler enables you to inspect all HTTP traffic, set breakpoints, and "fiddle" with incoming or outgoing data.
WinINET-based applications (E.g. Microsoft Office, Internet Explorer, etc) should automatically use Fiddler while it's running and it can be configured easily to work with other browsers.