Microsoft has released an IE powertoy called Fiddler. What is Fiddler?  Fiddler is an HTTP debugging proxy 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. Fiddler is much simpler to use than NetMon or other network debuggers because it exposes only HTTP traffic and does so in a user-friendly format.

Download Fiddler here.

Also see this article.