I thought that the only way to intercept a request is to use a proxy, but fiddler somehow can intercept HTTP requests and responses without configuring anything on any browsers.
What's going on under the hood ?
And do you know any library to do that ? (In any languages)
Fiddler actually does use a proxy. I believe the installer automatically configures IE to use Fiddler's proxy. You can also configure other browsers to go through the same proxy, so Fiddler will profile their network traffic too.
More info here