There’s tons of information scattered through the various Fiddler
sites and this group.
I think you’re asking a more specific question: How does Fiddler tell
WinINET that it wants to be the proxy for a given WinINET connection?
INTERNET_OPTION_PER_CONNECTION_OPTION, ref Request, size))
INTERNET_OPTION_PROXY_SETTINGS_CHANGED, 0, 0);