It completely depends on what credentials your server uses. If it uses HTTP authentication, the headers are included in the Authorization header. If your server uses cookies, they are included in the header of the cookie request. If your server uses HTTPS client certificates, the credentials are connected to the TLS connection itself and are not displayed anywhere in the HTTP request.
If you're just trying to authenticate a service that uses HTTP authentication with your current Windows credentials, check the Authenticate box in the Autos Authentication tab on the Settings tab.