One of the most difficult things to find out about spyware is what information it's sending out about you. I take a look at the Ethernet cable running into my computer and that doesn't tell me anything. Similarly, I can right-click Windows' My Network Places icon, choose properties, and see an icon representing my network adapter, but that doesn't tell me anything, either. To really dig into network traffic, you need a packet sniffer. But you also need a computer science degree with a specialty in networking to understand what these types of applications are telling you. As a compromise, I use Active Ports. This free little utility shows you who your computer is talking to. You get to see a list applications and which IP addresses they are sending data to, all in real-time. Double-click on an entry, and Active Ports tries to resolve the domain. I really like how Active Ports gives you a window onto your computer's communications that you otherwise would not see at all.
Tech & Work