How to monitor connections/downloads?

Is there freeware available that shows in realtime the source of downloads? For example, I have an anti-virus program that automatically checks for updates and then downloads new definitions, etc. and microsoft autodownloads updates. However, I am really uncomfortable when I see a download in progress, not knowing the source. I'd like to have a small window open in the corner of the screen that identifies the source of all this stuff piling onto my hard drive......I am embarassed to admit, but I still use Windows 98SE.