Some app is downloading something and i dont know what it is

so here is my case..

When i connect to the internet, my computer starts downloading something (i think that it is downloading something because my DSL modem is blinking, same with my router). I am not using any applications or whatsoever that uses the internet.

i have tried using norton antivirus, pestpatrol, and ad-aware around 3x already. system restore is turned off ofcourse.

Moreover, when i tried to login to mail.yahoo.com, it gives me an error message saying "The browser you're using refuses to sign in. (cookies rejected)".

i would really much appreciate your help.
THANK YOU!

 

tnx etaf i'll try and check it out..

but can you explain to me what happened to my cookies? i try to enable the cookies through internet options -> security -> custom settings.. but i cant actually click the custom settings button..