The original traceroute is a UNIX utility, but nearly all platforms have something similar. Windows includes a traceroute utility called tracert. In Windows, you can run tracert by selecting Start->Run…, and then entering tracert followed by the domain name of the host. For example:

tracert www.pcwebopedia.com

Traceroute utilities work by sending packets with low time-to-live (TTL) fields. The TTL value specifies how many hops the packet is allowed before it is returned. When a packet can't reach its destination because the TTL value is too low, the last host returns the packet and identifies itself. By sending a series of packets and incrementing the TTL value with each successive packet, traceroute finds out who all the intermediary hosts are.

Yahoo!'s traceroute utilities page
Yahoo!'s directory of traceroute utilities.

A Traceroute-Like Analysis of IP Packet Responses to Determine Gateway Access Control Lists
This 1998 paper from Goldsmith and Schiffman describes firewalking and examines the risks of using the technique. (pdf)