Who r u ?

netwatch, mentioned by Gary_W above, requires file and printer sharing to be enabled. If you're going on the internet and worried about someone accessing your PC without you knowing then you don't want to enable file and printer sharing.
Netstat isa command line program (dos) which you can run to tell you what connections you have open at a given time and the ip address or domain name at the other end. The command line is c:\windows\netstat
If you specify a number after the command netstat will check again after that number of seconds, e.g.
c:\windows\netstat 60
will check every 60 seconds
To break out of the loop hold down the Ctrl key and press C

sample netstat output
Active Connections

Proto Local Address Foreign Address State
TCP desktopb:2246 205.188.7.140:5190 ESTABLISHED

That probably won't format right on the forum but proto is protocol, in this case TCP
local Address is desktopb:2246
desktopb is this pc and 2246 is the port number.
Foreign Address is 205.188.7.140:5190, the remote ip address and port number of the only connection open. In this case it's my icq connection.
State is "ESTABLISHED" which means the connection is current. Other states include TIME_WAIT,nothing seems to be happening and when the connection times out it will be closed, and CLOSE_WAIT, waiting to confirm closure.

There are a few switches which you can use and netstat /? will give you a list
Hope this helps
John