Generally speaking, simply starting Fiddler before your application is sufficient. You haven't explained what you've tried so far.
- If it doesn't just work, read: http://fiddlerbook.com/fiddler/help/hookup.asp#Q-DOTNET
- If your target URL is localhost or 127.0.0.1, read: http://fiddlerbook.com/fiddler/help/hookup.asp#Q-LocalTraffic
- If your code is running in IIS or ASP.NET, read: http://fiddlerbook.com/fiddler/help/hookup.asp#Q-IIS