The Windows Vista Firewall is definitely better than the Windows XP Firewall because it is able to control incoming and outgoing connections. If you have to rely on the firewall you might feel that it is missing several features known from desktop firewalls. That’s where Vista Firewall Control comes into play. The free version of this firewall management software comes with reduced functionality but introduces one interesting features: The ability to allow or deny access to the Internet for running applications.
Whenever a application requests a connection to the Internet that is not in the list of applications that have already defined firewall rulesets Vista Firewall Control asks the user if he wants to allow or deny that connection.
That’s a known feature from many desktop firewalls. The options are to configure the application to disable or enable all connections or to allow only incoming or outgoing connections.

The list of applications that already have a ruleset can be displayed and edited or deleted if necessary. The free version of Vista Firewall Control does have several limitations and it would probably be better to download and install a third party Firewall like Comodo instead.
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Definitely the way to go is with a 3rd party firewall I.E. Comodo, because you have much better control with them and they are free! I personally use Kaspersky Internet Security, which I have had no problems with at all, and it even disables windows built in firewall during the installation process!
I’ve been using Vista Firewall Control ever since I upgraded to Vista. I chose it because it’s light (Vista is sluggish as it is, why make it more so?) and easy to use. The extra features of, say, Comodo are ok but not must-have. A firewall protects one’s PC from questionable inbound and outbound traffic; and Vista’s built-in firewall and VFC are adequate for this task.
A firewall shouldn’t be a panacea for security, but just another layer in a security scheme. In addition, I have an antivirus (Avira) and anti-malware (Defender) running on my system. These, plus safe hex practices, should be enough for my needs.