I agree with all of the above posts and getting a firewall should pin point the things out. My guess is that it is probably your anti-virus or something (like NetDectect of Symantec) or just some application trying to update it self. Here are some few other things that you can try that might help you as well, because even if you find what application is doing it, you might not want to get rid of it.

1.) Go to Start > My Network places > Right click on the connections that you don't use (i.e. if under the dial- up section) and click on Cancel as default connection (if it had a check mark on top of the computer icon).
2. You can also try this to turn of auto dial.... Start > Control Panel > Network and Internet Connections > Network Connections > Advanced (on the menu bar)> Dial up preferences... > Autodial tab > Uncheck "Enable Autodial by location" then check "Always ask me before autodialling" and "disable autodial when I am logged on"
Click OK...

however you are most likely going to get rid of this annoying problem with a firewall so you don't need the steps above...