If your really worried about outbound requires, it needs to be done off pc. On PC firewalls are a joke in terms of outbound security. They may do good for blocking inbound, but any program with admin access in windows can and will do whatever it wants. It could hook into the tcp stack in front of the firewall, it could shutdown the firewall, it could simply hide itself inside a svchost so you just ok it thinking its part of windows. Or it could plugin to IE and hide tha tway. If you want security, get a router/firewall with some IDS on it, and audit the logs now and then. Plus you wont have to worry about constant annoyances of pop ups asking you to approve this app.
Plus, if you have to worry about getting malware on your pc, perhaps you should look into your pc usage habbits and how you could improve them to prevent the installation in the first place. My wife's pc has never gotten a virus, or a peice of spwyare. This is because every program she uses is approved, trusted, and researched. And if it is suspect, it will be installed inside a virtual pc and checked to make sure it doesn't do any harm. I'm not saying you have to be that extreme, but you could just not run mail attachments, scan everything with a virus scanner, and use good spyware protection. Plus when going to websites, use firefox coupled with noscript and adblock and only allow javascript on a site by site basis. Proactive solutions are much better then reactive.