You can use the following command in a DOS prompt to show current network connections to your system: netstat. To display all connections (listening and communicating), type netstat -ano or netstat -a.

This should prove useful if you suspect that someone's gaining access to your system.

The following application is also useful. It monitors some of your most important registry keys and informs you when they change:

http://www.diamondcs.com.au/web/htm/regprot.htm

And finally, you might be interested in 'Proport', which monitors your ports and looks out for trojans from its 300+ database of the most common trojans:

http://www.tdupage.com/main.htm