There is a new tool available for Windows that can capture looback / localhost network traffic. It is called RawCap and is available here:
http://www.netresec.com/?page=RawCap
Just start RawCap like this to sniff the loopback interface:
RawCap.exe 127.0.0.1 localhost.pcap
You can then open localhost.pcap in Wireshark or any other pcap analyzer to look at the capured traffic.
Btw. not only is RawCap able to sniff loopback traffic on Windows, it can also sniff your WiFi interface as well as PPP interfaces such as 3G/UMTS connections.
