Unplug the network cable.
But seriously, install some sort of firewall. Even if you were to close such a connection, there is nothing to prevent the connection from being immediately reopened.
Another tack is to shutdown everything on your box and then run through the list of running processes and try to account for each of them.
Also, using "netstat -o" will give you PID info on each connection and then use tasklist (not absolutely sure it's available on Win2k, it is on WinXP) to display running programs and their PIDs, and then taskkill to shutdown a process. If you box blows up you'll know it was something that you should have left running.