when I download a program I want to know the many behaviour of this new program, i.e., does it connect to internet and sending my local computer data to somewhere, and what the system resources/functions have been called and what the new data/settings have just been written to my computer. Often than not Windows doesn't notify me all these actions, So I want to know it myselft, is there any possibility I can do that?
Thanks!!
You can use ProcMon for exactly that.
The newer version includes network activity monitoring too.
In fact you should take a look at the Sysinternals Suite since there are many other tools included in the suite like Process Explorer or TCPView that can help you with this task.
As for network packet inspection you can use Wireshark since the Sysinternals tools don't provide packet content inspection too(they mostly provide connection details and packet lengths).