Here's a useful tool for debugging web apps specifically running in IE versions 8 and below. This is not just limited to applications running on the browser though, it can listen to any application utilizing HTTP / HTTPS. You do not need to configure your proxy settings to redirect traffic, it just works on the fly.
IE 9 has Developer Tools in it, more info [here] just like FireBug for Firefox and Chrome Developer Tools.
It does not mean that we can not use it though. I would still recommend it for debugging HTTP / HTTPS communication to avoid looking at 3 different tools.