You can install an add-in for Internet Explorer, FiddlerCap, which will allow you to intercept and monitor data between the internet and a computer, before your web browser or an outside server receives the data.
When FiddlerCap is run you'll see the option 'Start Capture' which will open a new IE tab. Enter in the address of a web site.
After sessions have been captured click 'Stop Capture' back in Fiddler. FiddlerCap is a simplified version of the Fiddler web traffic inspection tool. It is designed to allow a general user to save a .saz file which can be forwarded to an expert for analysis.