Save Fiddler Session as Visual Studio Web Test

Fiddler enable you save a recording session as 'Visual Sudio Web Test'. The web test can then be added to the Visual Studio test project.
This function used to be acceesible from menu File -> Save.

However, if you are using a newer build (release since early 2011), this function has been moved to File -> Export Session. You can choose 'Visual Studio Web Test' from the dialog drop down.