Let $f(t, \omega), g(t, \omega)$ be functions that are independent of the increments of the Brownian motion $w(t, \omega)$ in the future. That is, $f(t, \omega), g(t, \omega)$ are independent of $w(t + s, \omega) - w(t, \omega)$ for all $s > 0$. I want to show that for any $0 \leq \tau \leq t \leq T$,
$$E\left(\int_\tau^t f(s,\omega) dw(s,\omega) \int_{\tau}^t g(s,\omega)dw(s,\omega)\right) = \int_{\tau}^{t} E[f(s,\omega)g(s,\omega)] ds$$
This is somewhat like a linearity property in some sense. I'm not really sure how to show it. If it helps, I know how to show the following:
$$E\left(\int_\tau^t f(s,\omega) dw(s,\omega)\right) = 0,$$
but I don't quite see how to apply that here (it doesn't seem related). I was thinking this might have to do with Fubini's theorem (since the expectation is really just an integral), but I'm not so sure.
Any help is appreciated. Maybe there is some clever way to apply Ito's Lemma here.