A monitoring system monitors the amount of time spent by specific application components, such as Java components, during execution of specific web site transactions. A probe that runs on an application server initially instruments these components (preferably at component load time) to add code for tracking execution start and stop times. When a monitored transaction is executed by the application server, the probe measures the execution times of the invoked components--preferably at the component method level. The resulting measurement data is reported to a reports server, and is used to provide transaction-specific breakdowns of the amount of time spent by each instrumented component, and optionally each instrumented method within such components. In one embodiment, the probe only monitors transactions initiated by agent-generated transaction request messages that are marked or "colored" for monitoring, and thus ignores transactions initiated by actual users.