By default Fiddler sets itself as a proxy for all programs that use WinINET settings. If the application does not use those settings you should change its proxy settings manually to point to Fiddler, but this part is very application-specific and I cannot guide you though it. What I can tell you is the the host and port you should enter - the host should be 127.0.0.1 and the port can be found in Fiddler's Help -> About, or Tools -> Options -> Connections (by default is 8888).
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