If you're not paranoid about Internet security, you should check out
www.mint.com. It's a great free financial management tool that I use to track my budget. It allows you to set different budgets for different catagories, and then tracks how much you are spending within those catagories. Once you do it for a month, you can really see where your money sinks are.
I suppose even if you are paranoid about internet security, you can just not input your bank info and punch in all your expenses and income in manually, which, if you have trouble saving money, is probably a good idea anyway.