Programs Dialing Out?

[Slime101]

I have a program that seems to be dialing out when i start it (as in connecting to an external site)

I have looked in my firewall (kaspersky) settings and found nothing, so downloaded ethereal and captured what happened when it started, confirming my suspicions.

However - i wish to block this, how do i find out what "file" is dialing, and block it within kaspersky?

 

[tolien]

Close everything, then one by one open them until you get a result (at which point you should know what you opened, and know what's doing it)?
There might be some sort of clue in the payload data (and destination).