As ixxo says, forget about automatic network adapter detection -- as it says on its window when it cant find an adapter, there are many reasons why this may fail and it's not important. the issue is really whether your network adapter is available in the options.
And the key to see if this is a url snooper program or a winpcap problem is to run that windump test.
RENI, you pasted your results from windump, which says that winpcap/windump can only see one generic dialup adapter -- and that seems to be what urlsnooper on your computer can see.. so there's really nothing more urlsnooper can do i'm afraid, as it is doing all that winpcap can do.
Assuming that this adapter is not the one you actually use, then the situation is as ixxo says, and it may be that you are using an adapter that winpcap is not able to work with. Best thing in such case is to go to the winpcap support page
and see if you can find any solution.