...double post
...Seven and Vista Firewall are OK, but they don't give you much control about what's going on with your connections, even if outbound filtering is there now. You could still mess around with the advanced interface, but I haven't seen anyone yet using it. I'd like to actually, anyone here?
Other than this I use Comodo firewall. Works fine with either MSE or Avast.
edit: performance monitor gives more details, but it's not interactive enough.