I thought that the only way to intercept a request is to use a proxy, but fiddler somehow can intercept HTTP requests and responses without configuring anything on any brows
May be running the network interface in promiscuous mode. This is how WireShark is able to monitor network traffic and display it.
More Info: http://en.wikipedia.org/wiki/Promiscuous_mode
Fiddler is a proxy, written in C# and wrapping basic sockets.
It registers with WinINET using the appropriate API call while running, and detaches in the same way. Most browsers automatically detect the WinINET proxy setting and use it. Firefox does not, which is why current versions of Fiddler install a Firefox addon.
-EricLaw [MSFT]