Sniffing specific application traffics.

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use Microsoft's Network Monitor or Microsoft Message Analyzer to capture packet for a specified process, save the caputre to a file, then use Wireshark to analyse the trace.

It's like "use IE to d/l FF" :-)

You can't. What you can do is set Capture Filters to restrict the captured traffic to that of interest, usually by means of local and remote port and remote host names.

If the applications are all sharing the same local port, remote port and remote IP\hostname then there might not be much that can be done.