Intercept requests and modification of the server response

[athapa]

Zeus sounds interesting but it is cpp not c#.
LSP might work but you'd need to build that in cpp and pinvoke that in your .net code.

I don't think you are targeting XP or older, then see if windows packet filtering api works:
http://www.codeproject.com/Articles/5144/An-Easy-Firewall-Application

Most likely you'd want to support Windows 7 and greater so in that case you could use Windows Filtering Platform (WFP). I've not seen a complete project yet in .net but this may help.
http://social.msdn.microsoft.com/Forums/windowsdesktop/en-US/e2308de1-e892-4a07-9bc8-7278d1f5b104/wfp-with-c

BTW why c#?