I found an interesting site from the Comodo site:
http://www.matousec.com/projects/windows-personal-firewall-analysis/leak-tes
ts-results.php
It listed the Windows firewall as the very worst of
all tested, though I never found any detailed description
of exactly what the test were.
I don't know how thing work through your router, but
for anyone connected directly online, outbound control
is no myth! First, it can warn you of a virus/worm that's
trying to get out. (Virtually all malware is going to try to
go online once it's set up. Second, it can control/identify
spyware when it tries to go out. Third, it can control
the increasingly numerous Microsoft functions that go online
without asking, many of which qualify as spyware in that
they send info. from your machine clandestinely without
asking. Fourth, it provides further protection against
incoming calls. Windows NT systems are high risk in that
the RPC service cannot be shut down and numerous risky
RPC-related services that should rarely be enabled are left
running by default. (DCOM attacks were one of the first
of many unnecessary security problems faced with XP when
it first came out.) Outgoing control can block local software
from responding to an incoming request.
Many people don't care much about privacy and don't
really care if much of their software is calling home. (It is.)
But those people should still at least appreciate an early
warning system for malware "infections".