I have not managed to get capture working even on IE7. I seem to recall that
there is a problem when Internet Protocol version 6 is installed on a machine
when you try to use URL Proxy capture.

If you are confident and competant enough, you might want to consider removing
the IPv6 stack from your machine, but it's not for the faint-hearted, and
could really screw up your machine if you don't know exactly what you are
doing; you could need to re-install your entire system if it goes wrong.
Venture at your peril!

Stevod