Software like WireShark can do this already. Not recommended though, it has a steep learning curve.
Perhaps the tool
Process Monitor from SysInternals (part of Microsoft) will be of more help to you. You'll have to create a filter for the process you'll need to track. When this filter is active, you will see which sites have been opened. You can export the output from Process Monitor to a more (human) readable format, if that is needed.
block them in the hosts file, this way, you can still use spyware but it blocks it from sending your info.
-ibay770
You think that malware/spyware respects the the content in the HOST file? Maybe the most simple ones do. Smarter/bigger/"better" spyware keeps their own list of domains to connect to and do not care at all what you do with your HOST file. Not to rain on your parade, but why would you want to use the spyware? It is a breach in your security and the makers behind the spyware can land a worse payload into your system if they choose to do so at the time it is convenient for them. And if you cannot think of a worse payload than they already have saddled your system up with, in that case you lack imagination.
And even worse, if you use your system to log into a bank or governmental website, that data could be stolen as well as all your money. And there won't be much you can do. If you have some kind of insurance for your computer, when the insurance people detect the spyware, you are automatically denied any claim you think you have.
Spyware is primarily associated with cracked software and/or games. Seriously, spend the money on getting the original software or games. Because it is much cheaper in the long run. Just don't use the computer with the spyware on it to make those purchases.