A great amount of software will make outbound connections to the Internet, typically for legitimate purposes, though not necessarily. If you wish to prevent or at least learn when an application is doing this, you can use NetLimiter on Windows or Little Snitch on OS X to detect and decide to allow or block when a specific application is connecting out, and learn where it's connecting to. You can use Wireshark for further analysis, mentioned below. You can use BlockBlock on OS X, which notifies you if a program is trying to install itself to run upon startup, even when it's hiding itself in a nook or cranny of your system, and you have the clear option to block it if you wish. Some viruses or malware or simply annoying software will try to do this and you can decide if it should run at startup or not.