Literally speaking, it's not true that PuTTY only connects to the
server you told it to. It typically has to connect to a DNS server
first to find out where that server _is_. (If you've provided a
hostname, and if that hostname isn't in /etc/hosts or equivalent.)
Of course, if you're concerned about people _in your organisation's
network_ finding out where you've been connecting to, you have bigger
problems, because whether you did a DNS lookup or not they can
certainly see your IP-layer headers. But that really is outside the
scope of this document. I only mention DNS out of pedantry, because
not doing so made "does not connect to any other site" technically
inaccurate. (Perhaps even: only inaccurate if the DNS lookup happens
over TCP :-)