Well I tried the free zone labs firewall and it was ok but not what I wanted. I tried the free Sunbelt-Kerio firewall, if you put it in advanced mode it asks for your ok before allowing anything going out.Works well so far without any problems.
When I was using the free Comodo firewall I did a leaktest using the Leaktest download from grc.com-it failed but the free sunbelt-kerio firewall passed.
I had the leaktest software installed before both firewalls were installed.