Fiddler is an application that runs on your PC and listens on port 8888 (by default). When it launches, it configures the PC's web proxy settings (the steps as as given in EricLaw's reply) to route all Http requests to localhost:8888. Pressing F12 successively has the effect of turning off/on the proxy changes.
When Fiddler exits, it restore this proxy setting to the original. If Fiddler crashes or isn't allowed to exit properly, the proxy settings on your PC will continue to be localhost:8888.
Chrome can either be set to follow the web proxy settings in IE, or to let some extension take over control of this. If in Settings, Advanced Settings, Network, the Change proxy settings... button is enabled, clicking it will bring you to the IE's proxy configuration dialog. If it is disabled, that means some extension is in control, in which case look under the Extensions page (in left column).