Microsoft has been touting the new Windows Firewall in Windows Vista, which it says for the first time includes an outbound filter as well as an inbound filter. Outbound filters are important because it keeps programs on your computer from making outbound connections to the Internet without your permission. Great idea but the problem is that the Windows firewall is all but impractical to manually configure.
Vista Firewall Control is a free program from Sphinx Software that configures the Windows Vista firewall for you. In operation, it’s similar to other firewall programs. Once it detects an outbound connection it checks to see if you have approved/disapproved it’s use. If it’s the first time, it pops up a dialog asking for your permission.
There’s a plus version (isn’t there always a plus version) with more capabilities but the free version will likely serve your needs. This is a great way to keep your computer from making unwanted outbound connections.