Are you on broadband? If you are, you're are still connected to the Internet even if just the desktop is on. If you run a net monitor you'll see all the traffic in the background.
There could be something in the background connecting without you knowing. It might be something legitimately accessing the net or could be something malicious, make sure your AV is up to date and run it, also run your anti Trojan/Spyware programs to make sure you are clear.