On a related note, I recently tested a number of firewalls for Windows using Comodo's HIPS and Firewall Leak Test Suite[1]; the only one I found that passed all tests with virtually no setup or changes was SpyShelter Firewall[2]. Not an endorsement by any means, just an observation.
[1] http://personalfirewall.comodo.com/cltinfo.html [2] http://www.spyshelter.com/spyshelter-firewall/