I haven't actually tried this, but this answer from the web sounds promising:
Wireshark can't actually capture local packets on windows XP due to
the nature of the windows TCP stack. When packets are sent and
received on the same machine they don't seem to cross the network
boundary that wireshark monitors.
However there is a way around this, you can route the local traffic
out via your network gateway (router) by setting up a (temporary)
static route on your windows XP machine.
Say your XP IP address is 192.168.0.2 and your gateway (router)
address is 192.168.0.1 you could run the following command from
windows XP command line to force all local traffic out and back across
the network boundary, so wireshark could then track the data (note
that wireshark will report packets twice in this scenario, once when
they leave your pc and once when they return).
route add 192.168.0.2 mask 255.255.255.255 192.168.0.1 metric 1
http://forums.whirlpool.net.au/archive/1037087, accessed just now.