This article from last year is a great starting point for addressing issues either with proxies or for accessing network traffic from the Windows Phone emulator: http://blogs.msdn.com/b/wsdevsol/archive/2013/06/05/configure-the-windows-phone-8-emulator-to-work-with-fiddler.aspx
Probably the missing piece for most people is step 4:
In the command windows on the bottom left corner of Fiddler type: prefs set fiddler.network.proxy.registrationhostname HostName where HostName is the name of your desktop computer
Then you can simply navigate to :8888/FiddlerRoot.cer">http://<yourhostmachinename>:8888/FiddlerRoot.cer to install the Fiddler root certificate (useful for SSL debugging!)