Privatefirewall is a lightweight firewall that not only protects you against network attacks, but includes some antivirus capabilities, too.
Install the program and it will immediately go to work, monitoring any applications that are making internet connections. Safe programs are allowed to run as usual, so you won't be hassled with pop-up alerts: Privatefirewall only steps in if it detects malware-like behaviour, or suspicious incoming network packets.
Privatefirewall also keeps an eye on programs that try to modify key Registry areas, manipulate other processes, access protected file objects, or engage in similar virus-like activities, displaying a warning and (if possible) quarantining the suspect process so it can't cause any further damage.
And if you simply want to find out how your internet and network connections are being used right now, then you'll appreciate the enormous amount of status information available via the Privatefirewall console: the processes that are running right now, the details of every open internet connection, logs of your recent connection history, and more.