While running IP Traffic Spy, it gives me the following error message: "Failed to set I/O control!". Please, advise.
I have installed the application and just like you, I encountered errors. My error is related to opening socks. I believe this is an error with the operating systems. I have checked the official website and it appears the software hasn't been updated for 3 years now.
You will have to submit a BugReport to the developer, maybe he releases a new version.
As an alternative, you can use UrlSnooper: https://www.donationcoder.com/Software/Mouser/urlsnooper/