It can actually be quite difficult to do this, depending on the number of pieces of software that you've got installed and running on your system as a lot of legitimate software will make connections to the Internet without explicitly notifying you (everything from Dropbox to spotify to ...).
Also most websites these days use CDNs for content so will make connections to 3rd party domains while you're using them.
If you do want to do this I'd try using something like tcpview from Microsoft SysInternals. You could temporarily shut-down all the programs you know about and then look to see what connections are still in place and investigate each one. netstat -anb can also be useful as the -b switch provides some information on what program is making the request.