While providing complete inbound AND outbound protection, by default, the Vista firewall does not contain any rules for controlling of outbound traffic. That is, every program is allowed to go out.
Control Panel > Administrative Tools > Windows Firewall with Advanced Security
There you can block (close) a port, a program, etc.
I do it for some of my programs that I don't want to update (most of them, last freeware versions or giveawayoftheday ones).