Intercepting and modifying content

[ddman]

I'm writing a filtering application similar to a proxy server in
vb.net. I need to intercept browser requests and modify them before
throwing it back to the browser. How do I go about doing this? I've
been reading up on sockets and have tried my hand at some sample codes,
but they don't illustrate how I can perform tasks such as obtaining a
URL or modifying content. I've found but haven't tried some code that
have absolutely nothing to do with sockets and allow me to obtain URLs,
but from what I can see, they read directly from the address bar of the
browser. I need to intercept the browser request, check the url of the
requested page, retrieve and modify content before throwing it back.
I'm not very good at programming so everything I've read to date has
been confusing and dead tiring. Can somebody point me in the right
direction? Thank you.