If you aren't familiar with Network Monitor, it's a packet sniffer that's a Windows component on the server builds (Control Panel >> Add/Remove Programs >> Add/Remove Windows Components >> Management and Monitoring Tools >> Network Monitor Tools if you're using Windows Server 2003). The version that has previously been released with SMS has always been more robust than the one that can be added via the location I just gave. Microsoft has built a 3.0 version which is now free for download through connect.microsoft.com. You can read more about it here at the Network Monitor blog:
A lot of times when I'm troubleshooting connectivity issues between a SQL Server and a client I fall back on packet sniffer and Network Monitor usually does the job. Even when I was strictly a DBA I found this to be a great tool in my toolbelt. However, most organizations have strict rules on who can use sniffers and when they can use it because of the security implications. Before you download and install it, verify that you're allowed to so by your organization. And before you use a packet sniffer, always be sure to clear it first in writing (such as via email).
Although this is free, some prefer the tried and true Ethereal. I'm partial to it myself, but it requires the installation of WinPcap, which you may not necessarily be able to get permission to install on the server. Network Monitor 3.0 doesn't require any additional installations.