there is an app called 'Little Snitch'. you can probably get it on VersionTracker.com, but it's only a demo and will stop working after 3 hours, but you can turn it back on.
i've used it, and it seems really good. you can set different apps to access http, ftp etc...
i think there's a couple of different apps out there that do the same thing, but i think little snitch is the best.