Even though TCP/IP is "connection oriented" protocol, normally no data is sent over an idle connection. You can have a socket open for a year without a single bit sent over it by the IP stack. In order to notice that a connection is lost, you have to send some data on the application level.(*) You can try this out by unplugging the phone cable from your ADSL modem. All connections in your PC should stay up, unless the applications have some kind of application level keepalive mechanism.
So the only way to notice lost connection is to open TCP connection to some server and read some data from it. Maybe the most simple way could be to connect to some FTP server and fetch a small file - or directory listing - once in a while. I have never seen a generic server which was really meant to be used for this case, and owners of the FTP server may not like clients doing this.
(*) There is also a mechanism called TCP keepalive but in many OS's you have to activate it for all applications, and it is not really practical to use if you want to notice loss of connection quickly