Thanks to Bruce at work for mentioning this tool.

It's like Firefox's "Live HTTP Headers" extension, but on steroids. Intercepts HTTP protocol messages to/from the browser by setting itself up as the proxy. Works automagically with IE by changing the settings for you, but you can manually setup Firefox to go through the "proxy" as well.

Not only can you view all the activity going and coming to/from the server, but you can set breakpoints in the pipeline to modify the contents of the headers and then let the message continue through! Even better, you can write handlers for certain messages to tweak the headers programatically on their way through.

Tool is here

MSDN article here