The vista firewall is fine for inbound connections, but pretty much useless for managing outbound connections. You want to block outbound connections in case you pick up a trojan or something like that to prevent it from "phoning home" or infecting other computers on your network. MS ships it like that so it isn't a support call-generator for them.

If you're concerned about that, comodo makes a good firewall, and it's free. As with all good firewalls, you will spend a considerable amount of time training it to allow programs you believe are safe to make and receive connections, and you have to retrain it or accept new files after any program update, including windows update. That, in itself, can be pretty annoying too. The comodo firewall has a training mode and an installation mode to make those steps a little easier.

The laptops I travel with have XP and the Comodo firewall. My main home laptop runs vista, with the vista firewall, but I'm the only one that uses it. That's what works for me so far.

-David