Everyone's favourite native Win32 proxy: Bigger, better, faster, more...

http://www.bindshell.net/odysseus 

And announcing Telemachus, a companion utility for Odysseus, allowing
further analysis and manipulation of the HTTP transactions that have passed
through Odysseus.

Telemachus can communicate with the currently active instance of Odysseus,
or alternately load a previously saved Odysseus activity log file.

Although primarily designed to be used in conjunction with Odysseus,
Telemachus can be used as stand-alone utility.

http://www.bindshell.net/telemachus