Intercept web server request, modify, forward

Question

The idea is simple but i am not quite sure what would be the best way to implement such a feature.

What i basically wish to achieve is that all web requests that come in to my server are captured and modified. Cookies, headers etc. are all exchanged. After that i pass on that request to another web server.

Once the other web server replies i pass that information back on to the browser. I am currently using IIS with ASP.NET but i am open to all suggestions.

Thank you.