There is -- it's called packet sniffing. However, it is sufficiently complicated to make it extremely unlikely your roommates, neighbors, family members, or whomever you are afraid of, would be doing that.
If somebody told you they are monitoring you, they are probably just pulling your leg. If not, it is much more likely they've had physical access and installed some monitoring software on your computer. That could range from simple key loggers to
crap like this. Reformatting and a clean Windows install will get rid of all that. Of course, if you are living with the culprits, it may be difficult to keep them from doing it again.
Assuming there is sniffing going on, the only effective protection against it is encryption. Some protocols are encrypted by design (for example HTTPS, which you use when you access "secure" sites, such as online store checkouts). If you are concerned about Messenger conversations, there is an
add-on available, but it also has to be used by the people you talk to for encryption to take place.
You could potentially encrypt all your Internet traffic by using a VPN tunnel to a network at another location that you trust, but that is probably not a practical option.
