Firewall Tuneup nips that kind of activity in the bud. Once you install it, you're the only one who can give a process permission to access the Internet.
You can change the firewall's security level according to your needs, from disconnecting all applications to leaving them all unchecked. Regardless, don't forget to take advantage of password protection to make sure no one else modifies your choices.
If you want to stay in control of your applications Internet access, Firewall Tuneup is a good way to do it.