Windows Vista includes a two-way firewall that has outbound filtering disabled by default. Why? The best explanation that I got was that it was too complicated for end-users to use so they had that feature turned off as well as hidden. In fact, it is hidden so well that many users may think that the two-way firewall was yet another feature that was pulled from the final product. While that is true for other features the two-way firewall made it into the final product, you just need to know how to find it.
To get started, just click on the Start Button and key in wf.msc and hit Enter. This will bring up the comprehensive Windows Firewall with Advanced Security management interface. Here you will be able to configure rules for incoming as well as outgoing connections.
Make sure that you set the default action for outbound connections from allow to block. Otherwise the outbound firewall will be useless because it will allow all connections. This can be done from the Windows Firewall Properties link found on the main screen of the management interface.