"Currently, LuLu only supports rules at the 'process level', meaning a process (or application) is either allowed to connect to the network or not. As is the case with other firewalls, this also means that if a legitimate (allowed) process is abused by malicious code to perform network actions, this will be allowed."
In other words, it won't stop malicious Javascript running in your browser from making an outbound connection, which is the most common way for malware to do that.
It does say "currently", but I'm not sure how you would get around this flaw; at any rate, nobody has yet figured out how.