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I believe that's more of an MS snooping device than anything else, or at least that's what I've heard. >>
I'm not sure if it is, but it does a decent job. (The next sentence or two is gonna start a flame war, maybe, but IMHO, I think this site does a decent job of trying to help protect you.)
Shields Up! by Steve Gibson is a good place to check how secure you are, plus if any ports are open to be hacked. With the MS firewall built in, it makes your computer stealth to any port scanners. The thing is that if you try LeakTest (on the same website), the firewall allows things to leave your computer without knowledge.
As for a recommendation, Tiny Personal Firewall is the other one I'd go for, other than ZoneAlarm. I currently use ZA, and it's working fine. TPF is the same, except a little bit harder to understand. Once you do, though, it does a great job.