Sorry, I hoped my post was clear. I try again:
First and foremost: URLsnoopersetup.exe simply DOES NOT work. Download it from the link in my reply#2 and execute it. It won't run, but fail with the error in my 1st screenshot.
Secondly: When extracting the files manually from URLsnoopersetup.exe and then running the program, URLsnooper.exe fails with the error in my 2nd screenshot if WinPcap has not been installed manually, too. Yes, as you said, the user should probably be informed, that he/she would have to install WinPcap, too.