I was reading that question (How to create a simple proxy in C#?) that is near of my wishes.
I simply want develop a c# app that, by example, monitors Firefox, IE, etc a
Your approach will depend on whether or not you are installing this application on the same box you are using to browse or on a separate proxy server.
If you are doing this on a separate server it will be easier to accomplish this in C# / managed code, as you will be simply writing a C# proxy server that client pc's will have point to. System.Net.Sockets namespace TcpListener and TcpClient will be your friend.
If, however, you are installing this on the same machine then take a look WinPcap and and SharpPCap and perhaps Fiddler for some ideas.
Hope that helps.