Microsoft Script Debugger
MSIE Developer Toolbar
Memory Leak Detection
To detect memory leaks in IE, you can use a program such as Drip which automates the testing process, or test manually using Task Manager or Process Explorer which allows detailed monitoring of a single process.
As mentioned on the Drip homepage, a leak is detected by looking for a rising stairs pattern as a result of reloading the page. For example, if I load http://www.yahoo.com and notice that IE is taking 40MB of RAM, reloading the page 10 times should still show IE as taking 40MB of RAM. However, if you notice that after each reload, and additional 2MB is taken up resulting in a pattern such as 40MB, 42MB, 44MB .. 60MB after 10 reloads, then the page in question is leaking.
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IEInspector HTTP Analyzer can capture any process's HTTP/HTTPS traffic (even to localhost) in current user session without the need to configure a proxy.