This is probably something everybody knew but me, but I'll put it here so that I never ever forget it.
It can be very interesting to see what an HTTP based application is actually requesting and that is probably why Fiddler was born. As a developer using Visual Studio and its built-in web server Cassini, I too am interested in what's going on under the hood.
I start my web project from Visual Studio, Explorer opens up. I start fiddler only to see nothing. After a bit of digging online I find that this is easy to solve.
Change http://localhost:1337 to 127.0.0.1.:1337 and fiddler starts tracking my requests.
Note the . before the : in 127.0.0.1.:1337 because that's where the magic is.