I recommend installing the personal firewall from Comodo available at: http://www.personalfirewall.comodo.com/ on Windows boxes.
I found this tool while troubleshooting a Windows XP install. It proved useful for troubleshooting because it catches network requests and asks for approval. Beyond troubleshooting, the Comodo Firewall requires confirmation for application requests such as:
- Writing to the screen
- Modifying executables
- Connecting to network resources
- Launching programs
Your response is saved per application after you confirm or deny requests. This is very similar to the McAfee security center firewall but the Comodo Firewall is free, it contains no adware or spyware, and is easy to configure. Better still, Comodo has no nag screens.