Fiddler is a must-have if you develop applications that use HTTP as the transport layer.

Fiddler is a HTTP Debugging Proxy which logs all HTTP traffic between your computer and the Internet. Fiddler allows you to inspect all HTTP Traffic, set breakpoints, and “fiddle” with incoming or outgoing data.

You’ll find a tutorial at MSDN that teach you how to use the Microsoft Fiddler HTTP debugger when developing and testing Web applications and clients.