Dear Tarq57 and DavidR,
I have Windows XP Firewall on and I had BlazeFtp, a FTP program. Windows Firewall asked me via a popup if I want to allow or block internet access for BlazeFtp. I clicked allow and this rule is added to the exceptions of Windows Firewall (via properties of LAN-connection). How is this possible if Windows XP Firewall has no outbound control, like you wrote?