I was having problem when I was posted in different branch. All our machines are connected to internet with proxy server, and though it has all firewall and anti virus active, many of our machine are infected.
Life goes like this in this branch. But I was worried of my machine. I wanted every connection/port trying to reach my machine to be notified/barred and every application from my machine trying to reach internet to be notified/barred. I needed a simple and small solution.
My search reached Filseclab Personal Firewall http://www.filseclab.com/
, a 8 MB freeware.
Ever since I installed it, my machine is safer in this infected zone. All connection to my machine are barred, but I can grant specific one if I need to. All new application just can not visit the internet at their own wish; they need my permission and for most I deny.
It does creates log file if enabled. You can try it and see if it serves your purpose.