You'd pay a hell of a lot extra for such a router. It wouldn't be much help in finding out what happened though. Such a thing would be much better implemented

You'd pay a hell of a lot extra for such a router. It wouldn't be much help in finding out what happened though. Such a thing would be much better implemented as a windows application firewall. It would be able to detect which app did it, which dll initiated it (so you can catch IE extensions in the act), and it would have a hard drive available for storing the results. This sort of tool does in fact exists as part of pretty much every antivirus product.