Program that monitors internet downloads?

Hi, I'm in need of a program that gives information about downloads. For games such as Counter Strike or Day of Defeat, you connect to servers worldwide and play against people. Some servers force you to download 3d files, sounds, and other miscellaneous materials. I'm wondering if there is something that will allow me to see where it all gets downloaded from? The servers use a 'trickle' method during the download period, where you only get 10-30 kb/s. Finding out where they are getting downloaded from would save time... lots of it... that way, I could directly connect instead of going through the server. Thanks in advance!