If you use Fiddler and you're running Vista (or IE7 on XP / WS2003), you're probably already aware that requests for localhost will not be sent through a proxy (and Fiddler runs as a proxy to intercept requests). There are various workarounds for this. However every time I rebuild my machine I always end up with a message like this the first time I use Fiddler with Cassini (the Visual Studio Web Server):
[Fiddler] Connection to localhost. failed.
Exception Text: No connection could be made because the target machine actively refused it ::1:51563
And I try the workarounds in known issues and it makes no difference. A quick search around reminded me what I did last time. Disable IPv6 in Fiddler Tools -> Fiddler Options does the trick.