Hi,

I'm suspecting that several "unfriendly" sites are collecting Information
from my computer without my approval.

The question is not about how to use better firewalls or antivirus/antispy
software.

The question is: 
(a) Can I see the outgoing information (aka - Packet contents) without any
    special software?
(b) Which are the top 5 Sniffing-software on the market which gives great 
    results and how do they work (by "great results" I mean they can tell 
    me exactly which information is leaving my client computer to the server  
    computer)?
(c) Can those softwares tell me weather anyone is massing with my personal  
    files on the computer? (eg. my Photos folder).

Thanks in advance!

I have used ethereal which is a free sniffer.  But, what you suggest
sounds like you need to monitor a very large amount of traffic and a
free sniffer will involve a lot of brute force work.

Hope you get better help than I can give. Though you have rejected it,
sure sounds like you need firewall; antispyware stuff, and/or attack
monitor of some sort.

a. without any packet sniffer you can use windows netstat
It's can tell you witch ports are open (connected) or on listen mode
and can also tell you the program witch using this port

b. i know of 2 good sniffers 1 - ethereal 2. sniffer pro
the second one is mecafee (tm) and I'm not sure if it can monitor outgoing packets.
ethereal is not the most user friendly installtion but It's not so hard either.
the sniffer itself is the best I know. good protocol anaylizer and a fine filter
p.s. you can use filters to find packetes with your info in them (say
the file name' your name etc) as long as the program send the info
unencrypted.

c. you need a program to monitor file access. like:
http://www.sysinternals.com/Utilities/Filemon.html

Since Microsoft (XP, media player etc.) are one of the biggest
offenders in this area, you cannot rely on any utility they provide
such as netstat to tell you the truth.
Since Symantec, and McAfee are obviously in cahoots with DRM mfgs and
purveyors such as Sony, you cannot rely on them to tell you the truth.

Paranoia is very justified in these instances, and I concurr with the
OP's sentiments on wanting to track outgoing traffic.
If he knows (or suspects) certain parties he can capture ethereal,
filter for certain IP addresses, and gradually build up a list of 'bad
guys' that is ever more accurate.

Good luck to romko -- when I asked a similar question over a year ago,
the silence was deafening. No windows expert wants to get on the bad
side of Microsoft or the other big boys.