If you like to know out about all software programs on your computer that are connecting to the Internet, here’s a simple tip.

Type "perfmon" in the Windows Vista search box to run the
"Reliability and Performance Monitor" utility. Next click the Network
tab in the right pane to expand it.

Monitor and block computer programs from connecting to the Internet

This will have a list of processes that are currently connecting to
the Internet. If you see a web address or process name that looks
suspicious, it may be a good idea to terminate the corresponding
process via the Task Manager.

This method is Vista specific but if your computer doesn’t have Vista, try the netstat trick which is essentially the same thing sans the GUI. For more Vista tricks, check this list from PC Magazine.