Can't understand Microsoft in not offering a better FW than that. Even Linux Ubuntu (which basically doesn't need any FW on it) has UFW FW which is far superior to Windows FW in fact you can both deny incoming and outgoing but put rules allowing ports like 80, 25, 110. What's so difficult??? Frankly it's hard to understand and you get "wacko" trying to follow the Microsoft FW philosophy
I can and I would have though that you would be able to see it too, 'anti-trust/monopoly' comes right to mind, if the windows (Vista, 7) firewall was great it would deal a great blow to many small firewall companies.
Some of which might well take it to court and the EU in particular isn't a nice area for MS, you only have to look at the Internet Explorer incorporation in the OS, becoming a monopoly and the EU stamped down hard on that.
So it does a none to bad a job, but has outbound protection disabled by default and is none to user friendly, which is why some use other more user friendly firewall solutions.
P.S.: They (Microsoft) are the "Leader" in the computing industry aren't they...?
There are some 'Apple' who would give you an argument on that and this comment is also where the care about anti-trust/monopoly issues come from, they are the world leader in the OS marketplace. So what they tag on 'free' in the OS package could well come in for some stick if it encroaches into another areas market share.