Just an update, with Service Pack 2, Windows Firewall now blocks both incoming AND outgoing traffic. Just like any other firewall.
A personal note on Win XP SP2 firewall... IT SUCKS, it is a major hacker target and isn't very effective.
Zone Alarm is way better get it from: http://www.zonelabs....reeDownload.jsp
that link is directly from the Zone Alarm website.