Go into your firewall and DELETE every program that is allowed to connect to the internet.
Then as each program wants to use the internet you should get a little window asking if that is OK.
Check each program one by one to make sure the program is a valid and genuine program before you say OK.
Try runing some "spyware" programs like Adaware and Spybot Search and Destroy to find rogue programs.
I also use WinPatrol (free) which tells you every time a program tries to install itself.
This is very useful as you can say NO if you do not recognize the program.