Checking what loads Internet connection

I use program Spybot Search & Destroy with success, but it needs little more time to check all nasties and set correct all. Is there some programm which can display what (program, bot, opened site) loads at moment Internet connection, in which direction?

I have to use both Spybot and Ad-aware, because sometimes Spybot only deletes spyware partially, and I've heard the same about Ad-aware. Bilu

I agree with r6d2. I'v been using ZoneAlarm form for some years now. It's free and shows you any program that tries to "go out" and you're able to block that program's access to the internet very effectively.