I am looking for a way to monitor my network so I can know which website that specific application is trying to connect to.
Whilst it's mainly a firewall, it alerts you when an app connects to a certain domain, and lets you allow/block the connection.
Alternatively, you can allow all connections and just monitor them.
Rubbernet is also a good alternative, providing the additional feature of remote monitoring of Macs on a network.
An excellent monitoring tool for this purpose is Little Snitch.
Macworld gave it 4.5 out of 5 stars ( http://www.macworld.com/product/1250383/little-snitch-3-0-1.html )