You can use the command prompt and run netstat. Just open the command line, and type
It will display every connection with the associated process.
You may also use a program called tcpview. Just run the executable and it will show you all of the current connections being made by your system.
You will need to be an administrator in order to see all of the connections being made but if you are infected with something serious or a rootkit, the connections may also be hidden. If you really wanted a fool proof way, you would need to setup a gateway or proxy of some sort for the machine.