Using Fiddler to intercept requests from Windows program
Fiddler isn't correctly intercepting anything that this program is sending/receiving

That means the program is either firing requests to localhost (very unlikely), or ignoring the proxy settings for the current user (most likely). The latter also means this application won't function on a machine where a proxy connection is required in order to make HTTP calls to the outside.
The alternative would be to use a packet inspector like Wireshark, or to let the application be fixed to respect proxy settings, or to capture all HTTP requests originating from that machine on another level, for example the next router in your network.
I am trying to intercept HTTP requests sent via an application I have installed on my Windows 7 machine. I'm not sure what platform the application is built on, I just know that Fiddler isn't correctly intercepting anything that this program is sending/receiving. Requests through Chrome are intercepted fine. 
Can Fiddler be set up as a proxy for ALL applications, and if so, how would I go about doing this? I have no control over the application code, it's just something I installed. It is a live bidding auction program which seems to mainly display HTML pages inside the application window.