open command prompt - type 'netstat -ano'.
you will see all connections and ip addy's (as well as process id's).
to see which process has the connections open, type 'tasklist'.
you will see which process has the connection open under 'image name'.
if it is not a recognized process, investigate it further.
you could put the ip addy(s) into ARIN to see where you're connecting to.
you could also do a ctrl-alt-del, and utilize the task manager to see what processes are running.
It is a good idea to investigate any suspicious processes. use your favorite search engine for all the ones you don't recognize.
you could also get a packet sniffer and see what the data is that is going out.
above all, a software firewall will block any connections that you don't allow. (zonealarm, comodo,etc)
also, a virus scanner might be a good idea (avg is free, and if you don't want it running all the time, you can disable it in your OS services, etc until you want to run it).