Microsoft CRM is a web application. That means it uses a variety of resources such as html pages, javascript, css style sheets, and images to render the user interface. Occassionally during development or troubleshooting you will need to view these resources, the order they are streamed to the browser, and how long each request is taking. Armed with this knowledge, you can fine tune your CRM application to optimal performance. Or, you can determine where certain page elements are located which enables you to code some fancy customizations.
Fiddler is a web debugging proxy that allows you to inspect the traffic between the web server and the client. It's quick and easy to install. You can record and save your sessions for later viewing, or even save them as Visual Studio web tests for later analysis and playback.

Notice on the left, Fiddler shows you the exact url, size, and source of the file. It also lists each HTTP response associated with the request. You can use this information to tweak file cache and to see exactly what the browser is trying to do as you navigate CRM. On the right, you can view statistics, session information, and the actual html pages that are sent from the server.
Finally, you can use Fiddler to capture web service calls, which will help you author client side javascript. For a tutorial on this, see the Microsoft CRM SDK article here.
Enjoy!