When you say "capture traffic of my website" what exactly do you mean? The error you encountered should only ever be seen if Fiddler itself
is generating requests, and not if a web browser or other client generates the request. If a client other than Fiddler generates the request, it should automatically handle a HTTP/407 response by returning credentials for the proxy.
In the scenario where Fiddler generates the request, it doesn't today have a means to prompt you for credentials. You can, however, supply those credentials by clicking in the black QuickExec box below the Web Sessions list and typing
prefs set fiddler.composer.HTTPSProxyBasicCreds yourusername:yourpassword
...and hitting Enter. Fiddler will then apply those credentials when generating CONNECT tunnels to your authenticating proxy.
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