Maybe the program you heard about was an outbound control for the Vista firewall, which has outbound capability. To my knowledge, no such program exists in regard to the XP firewall.
There are many two way firewalls available. I've tried out a few, and ended up with using the XP firewall (as part of a layered protection strategy.)
Firewalls include ZoneAlarm, Outpost, OnlineArmour, Comodo, and several others, both rules and applications- based. It pays to have a bit of knowledge to set up a rules-based firewall. (Kerio would be an example. Very competent if properly set up.)