On linux you can use "lsof -i" to see all current connections, I used to use something similar on >>Windows, but can't remember what it was.
The tool you're looking for is called fport, and is distributed for free by Foundstone. It lists which program is using each open port. Alternatively you can just use netstat -an to just see which ports are actively communicating or listening, but it won't show you which program is using that port.
Matt
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