If you are using XP, right click "My Computer", then Manage. Open Shared Folders, then Sessions. Any other account connected should be in there.
You can also look at the processes in Task Manager (ctrl-alt-del) and see the name of the accounts associated with the processes.
I think the same is true in Vista / 7 but I haven't got those in front of me right now.
I think it's possible that you can get that message using fast user switching, if there's still another account open on the PC. I don't use it, so can't verify it.
Another possibility might be internet connection sharing, if you have that enabled, especially with unsecured wifi - possibly someone else has connected to your wifi network.
If your PC is behind a hardware firewall, it is unlikely that anyone else is connecting from outside, but not impossible. With a direct connection to the internet it is much more likely, unfortunately.
SD