I had posted this before and I will post ti again :
http://www.firewallleaktester.com/tests.htm
Check the link and the extensive tests which have been conducted and you will see how bad the windows firewall is. ZA is the best free alternative. The best is Look 'n' Stop. I would seriously reccomend it to those that havent tried it.
All the tests that have been conducted the executables in the site itself. Check it out for yourself. I did. And the tests are very accurate.