I'm assuming that you're running a windows OS. The first question that occurs to me is "How do you actually KNOW that you were attacked, and not suffering from some other problem?" Your original question below makes that assumption without providing any evidence.
For the future, I strongly recommend that you install a firewall - software or hardware - each has strengths the other lacks. I use both, personally speaking.
Without knowing more about your particular configuration, I can only offer general guidelines on where to look. But here are a few places.
1) Bring up a command prompt and do dir c: /s /ah /o-d > c:lookupfiles.txt
This will list everything on your system drive, including hidden files, and sort by date - the minus in front of the d will cause the newest files to be listed first. This is done in the command prompt so that you can have an output file. You can do the same thing in the "Search" tool, but I like having the output file.
2) Look at the system event logs - All 3 (System, Security, and Application) for anything within the time window of the attack.
3) If you have a software firewall (McAfee, Symantec, Zone Alarm, etc.) look at the log files for those.
4) If you've got an external hardware firewall (of any sort), look for log entries there in the same time window.