I have been hearing and readings lots about mint.com lately. It is an online program that tracks all of your spending for you and it notifies you weekly about your budget and if you go over in any category. It's so much more than that though. It is very extensive and has tons of different angles to your finances beyond budgeting...taxes, understanding investing, save money, pay off debt, save for retirement, buy a car...those are a few of the categories.
They offer a really in-depth overview which will answer lots of the questions you have in your mind right now. And, of course, the best part...it is free! I love free!