Existem ferramentas de terceiros que fazem o que você deseja.
Mas, como alternativa, você pode instalar (outra ferramenta de terceiros) Luzes de rede :
Network Lights is a Windows program, which blinks keyboard LEDs (Light Emitting Diode) indicating outgoing and incoming network packets on network interface.
Network Lights lets you monitor network activity (upload/download) from your keyboard ScrollLock and NumLock indicators. Each LED will flicker when network traffic is detected.