One of the most common questions I get is: why is my computer suddenly going so slow? There are often explainable reasons, such as a new version of a program having been installed or a download of a patch in the background. But sometimes there isn't a clear answer. I found this blog posting which provides an easy way to capture what is connecting to the Internet. If nothing else, you'll learn just how many of your programs are communicating with the Internet. Most of them will.
This system is very useful but it may not discover today's Trojan horses. The new Trojans and spyware try to appear to be a legitimate program so that a personal firewall will not block its communication.
Give it a try. It doesn't cost anything and you'll probably learn something useful.