Dave Winer writes:

There’s something missing from Windows. An application that hooks into the outbound Internet message flow, and shows me where messages are going. This would allow me to figure out what spyware is running on my system even if the various utilities can’t get rid of them. Then the next step would be to allow me to block traffic to certain servers. That would disable the spyware. It seems that I should have control of my machine at that level.

And Jeff Sandquist responds that Windows XP SP2 can do this via the new firewall, but look again. The firewall built into XP blocks incoming traffic, not outgoing. My guess is that feature will come with SP3. For now, I recommend the free version of ZoneAlarm which is perennially considered by many to be the best desktop firewall software out there. It will notify you when an application tries to send an outgoing message to the internet and its quite easy to configure.