For some reason, none of previous answers worked in my case, so I'll post something that did the trick. There is a little jewel called RawCap that can capture localhost traffic on Windows. Advantages:
- only 17 kB!
- no external libraries needed
- extremely simple to use (just start it, choose the loopback interface and destination file and that's all)
After the traffic has been captured, you can open it and examine in Wireshark normally. The only disadvantage that I found is that you cannot set filters, i.e. you have to capture all localhost traffic which can be heavy. There is also one bug regarding Windows XP SP 3.
Few more advices:
