How fiddler works

https://groups.google.com/forum/?fromgroups=#!topic/httpfiddler/Az0xW2MJMqU

There's tons of information scattered through the various Fiddler
sites and this group.

I think you're asking a more specific question: How does Fiddler tell
WinINET that it wants to be the proxy for a given WinINET connection?

Answer:

if (InternetSetOptionList((IntPtr)0,
INTERNET_OPTION_PER_CONNECTION_OPTION, ref Request, size))
{
InternetSetOption((IntPtr)0,
INTERNET_OPTION_PROXY_SETTINGS_CHANGED, 0, 0);
}