Go to "Options," "Security," "Firewall," and make sure the firewall is enabled. Then step through the applications list in "Options," "Advanced Options," "Applications" and change the "Internet" permissions for all applications to "Prompt." The next time this unknown application attempts to access the internet, it should make itself known

Alternately, you can simply turn your Data connection off in "Options," "Mobile Network," "Data Services." It won't help you figure out which application is accessing the internet, but it will prevent it from doing so.