Bit confused about the direction this thread has gone... People are talking about Firewalls / AV / Network speed monitors... I think what the OP is looking for is what is traditionally called a Packet Sniffer...
I work a lot of time sorting out networking problems, connection to the Internet, LAN problems etc etc... I used to use Ethereal, but this has been superceded by WireShark, which effectively does the same thing.. There is also Network Monitor, which is Microsoft's own tool.
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