Even BHO does not work very well for this. Technically, you can write a BHO that wraps the HTTP and HTTPS protocols using the APP shell, but this is not supported, it causes performance problems and crashes, and it is very difficult.
If you use .NET, you can easily host FiddlerCore (www.fiddler2.com/fiddler/core/), and you can probably wrap it with Delphi, but that means more for testing than for production.
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