Vista added outbound filtering capability to the Windows firewall. I don't know if this new firewall can be run on XP (I think MS wants it to be a Vista feature and might make using it on XP difficult).

But outbound filtering is turned off by default, and turning it on is much more difficult than controlling inbound filtering. Probably beyond the interest and abilities of most Vista users (have to use MMC and Advanced Security Group policy -- big pain in the neck, and a really flawed implementation).

I use SystemSuite (by Avanquest) which includes an effective firewall (NetDefense) which is not resource hungry and works well on Vista. For XP there are lots of other firewalls that work well and are cheap (often free). Sticking with the Windows firewall is probably a poor choice for most people, unless you are willing to spend a lot of time administering it. If you don't know what administration it requires, then it is a really poor choice (it will leave your system vulnerable).