Fiddler is not capturing web request from Firefox

You can also get the FiddlerHook plugin for Firefox that lets you handle how you want traffic to be routed through Fiddler

I had same problem. For solve it I simply change Firefox setting to Use system settings of proxy. I hope, this will be enough for correct Fiddler work.

UPDATE

As @Ed Birm has clarified you can find it here:

Options > Advanced > Network tab > Settings button in Connection > Select Use system proxy settings > OK

Or type in URL about:preferences#advanced and then find Network tab > Settings in Connection > and select Use system proxy settings and OK.

UPDATE 2

For newer versions of Firefox go to:

Options > General > Network Proxy > Setting button > Use system proxy settings > OK