Went to an MSDN event by Russ (http://blogs.msdn.com/rfustino/) a few weeks ago and during his demo he displayed this cool tool called Fiddler (http://www.fiddler2.com/). A must have debugging tool for any Smart Client or Web Developer. Fiddler is a Web Debugging Proxy which logs all HTTP(S) traffic between your computer and the Internet. Fiddler allows you to inspect all HTTP(S) traffic, set breakpoints, and "fiddle" with incoming or outgoing data. Fiddler includes a powerful event-based scripting subsystem, and can be extended using any .NET language.Fiddler is freeware and can debug traffic from virtually any application, including Internet Explorer, Mozilla Firefox, Opera,...
Had a friend that was trying to get IE to work on a computer that was locked down. When he started up the browser he kept on getting an error message saying that he needed to run the internet connection wizard but he did not have permissions. After a search of the internet we found this article in the Microsoft KB (http://support.microsoft.com/KB/246883) that tells you to remove the "Connwiz Admin Lock" key from the registry at "HKEY_CURRENT_USER\Software\Policies\Microsoft\Internet Explorer\Control Panel"