Para aqueles que usam o Fiddler com IE 7 e não estão conseguindo capturar as requisições e respostas quando estão utilizando proxy, eis aqui uma dica que encontrei no próprio site da ferramenta:

IE7 and the .NET Framework are hardcoded not to send requests for Localhost through any proxies, and as a proxy, Fiddler cannot intercept such traffic.

The workaround is to use your machine name as the hostname instead of Localhost or 127.0.0.1. So, for instance, rather than hitting http://localhost:8081/mytestpage.aspx, instead visit http://machinename:8081/mytestpage.aspx.  Alternatively, you can use http://localhost.:8081/mytestpage.aspx (note the trailing dot after localhost).

…Or, you could Customize your Rules file like so:

static function OnBeforeRequest(oSession:Fiddler.Session){
  if (oSession.host.ToUpper() == “MYAPP”) { oSession.host = “127.0.0.1:8081”; }
}

…and then just hit http://myapp, which will act as an alias for 127.0.0.1:8081.

Fonte: http://www.fiddler2.com/Fiddler/help/hookup.asp