I had a need yesterday to review our e-commerce application's HTML files to see which files and images were being cached or not. After a few Google searches, I ran across HttpWatch. This is an IE add-on that provides seamless HTTP and HTTP monitoring, straight from your browser window.
This utility allows you to monitor headers, cookies, caching, and GET/POST, compression, redirection, and chunked encoding.
This product comes in two editions: Basic and Professional. The Professional is reasonably priced for only $295. I highly recommend this product!