Http Proxy

I've been searching for days on subject matter regarding help with creating a
proxy (http) for my windows .net 2.0 application (vb.net).

I'm forced to use the older AxWebBrowser control since it offers a nice
header modification method. Does anybody know of a way to display the header
info. I.e. a navigate2 is launched, I now want to display the response and
request headers throughtout my page requests.

So I guess my real question is more proxy related I believe. Can I create
some sort of proxy to then push requests through and be able to display
response and request header info? Any good proxy creation examples? I'm doing
this as a windows .net 2.0 application. I would like for the proxy to reside
within the same project if at all possible. Or I guess I could create a
Windows Console application, etc to run as the proxy.

Help?