you cannot find out the actual physical connections your data has been sent to, just the servers it goes between using tracert or other more advanced programs as OBonio has said.
On what redmug100 was saying, the WWW was invented by tim Berners-Lee, who was at the time in CERN (the particle physics accelerator near Geneva). It was invented to send data in a presentated way for other scientists to interpret etc. from the accelerator's experiments. Since then it's taken on a whole new life as you see now.
Current work is being made on a new, successor, to the web: the grid. This works in a similar way to the web, but allows for much greater data transfer. This is being built as it will be required for a new experiment that's currently being made in CERN, to be completed by around 2007.