First of all, I said in Fiddler's settings, not in WinINET ("Internet Options"). Tools -> Fiddler Options... -> Gateway -> Manual proxy configuration -> localhost:<PORT>.
With that said, you can just use the system proxy settings too (that's the default behavior in Fiddler); I don't recommend it though because then everything on your box will route through Burp which has unfortunate impacts on network performance and RAM usage.
Internet Properties -> Connections -> LAN settings -> "Use a proxy server for your LAN" -> Address: localhost, Port: <PORT>
In both cases, "<PORT>" means whatever port Burp is listening on (8080). I have no idea what you mean by "Burp is listening on all interfaces, so I obv don't want to put in localhost or 127.0.0.1" given that
A) that is exactly what you want to do
B) there is nothing I can think of that would even remotely lead to believe otherwise.
Granted, loopback is not an explicit network interface on Windows the way it is on Linux, but it is still treated as one in the kernel. Listening on "all interfaces" just means the socket was bound to 0.0.0.0 (or
IPAddress.Any in .NET; there's an equivalent option in Java). Listening on 0.0.0.0 will get messages routed both through external interfaces and through localhost (127.0.0.1), or localhost wouldn't be nearly as much use...