If you like to know the list of all programs in Windows that are connecting to internet. Here is the simple tips for that
Type “perfmon” in the RUN Start menu to run the “Reliability and Performance Monitor” utility. Next click the ”Reliability and Performance” in the right pane to expand to view CPU frequency, Disk active time, Network Utilization and Memory Usage and also lists the websites / servers that the programs are communicating with and the location (country) where those servers are located
Reliability and Performance Monitor has other options like Performance Monitor, Reliability Monitor, Data Collector sets and Reports
If you see any unknown process or exe running , better idea to to terminate the corresponding process via the Task Manager.
Perfmon is available from Windows Vista onward, different version of Windows or want something less complex, try TCPEye 1.0. This is a free network monitoring software that gives the list of all processes that are currently using your network connection.
You can use netstat command to get similar information.