Well, let's hope you don't want to do something illegal.
First of all, there are several levels you can hook in to the process, and each has it's own specialties.
1) You can make keylogger, but you will have to filter for url's, and you won't be able to follow links (
http://cskeylogger.codeplex.com/[
^])
2) You can make browser extension/plugin. But be aware, that there is no universal solution, you need to develop plugin for
every and each browser. IE:
http://stackoverflow.com/questions/5643819/developing-internet-explorer-extensions[
^]
3) Create a proxy (and force users to use your proxy)
Implementing a Multithreaded HTTP/HTTPS Debugging Proxy Server in C#[
^]
4) TCP level traffic sniffing:
A Network Sniffer in C#[
^], and log the traffic you are interested in.