Software

There are lots...

Built in, you have "netstat", which you can just type from the DOS prompt... [You can check for other switches to use with the command]

However, if the other person has not blocked your ability to see it, you can use any program that monitors the connections your computer makes...

See http://tinyurl.com/ngxb for more.

Both services are blocking that type of info, since folks were using it in prior versions for malitions intent. So, during normal chat, no you can't tell.

But, if you can get a file transfer initiated between you and the other chat client, those run directly without running through a middleground server, so you could then use the NETSTAT suggestion from Answer1 to tell.

But don't use this knowledge for evil!