Hi Ravi,
In your case you can try with web(http/html) protocol. There is video presentation of the basic usage of this feature in the following post: http://h30499.www3.hp.com/t5/LoadRunner-Support-Customer/Proxy-Recording-with-LoadRunner-11-52/m-p/6304007/highlight/true#M998
There are instructions in the LoadRunner User guide as well.
For SSL communication you will need to import to import the http://127.0.0.1:{proxy_port}/proxyroot.cer
Please check the instructions in
Kind regards,
Vesela