I second the other answer's recommendation for Fiddler.
Additionally, many browsers have "live HTTP header" plugins and other web development tools. Installing these will let you see all requests, often in a nice summary form. Search your browser's plugin repository for "live HTTP headers" (link goes to Chrome plugin - here is Firefox, here is one for IE). These types of plugins will give you only information that the browser requests, as opposed to Fiddler which will give you information on everything that every application is requesting (which is great; but you do have to sort through it a bit, not sure what your requirements are).
In Chrome, if you open Tools -> Developer Tools, the "Network" and "Sources" tab will both show you this information, albeit only for the current tab.
In IE (11, at least), the network section in Tools -> F12 Developer Tools will also give you that information.
In Firefox, I do not recall, but I'm sure there is something similar.
In Safari, it seems you can go to Inspect Elements -> Resource Pane.
None of these, however, really have the ability to generate a nice formatted list without at least some amount of copying / pasting / editing on your part. The built-in browser tools may be the closest as far as associating with a "primary URL" goes, with Live HTTP headers plugins coming in next to monitor just the session (but not so much an association with primary URLs), and Fiddler giving you tons of unsorted information.