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Originally Posted by idf
Windows Firewall and a NAT router offer inbound protection only. They do not protect against rogue applications making a connection outbound. ZoneAlarm does.
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That is not quite true since SP2. Windows Firewall will ask whether some packages which need to make outgoing connections should be granted permission (like Zone Alarm). The difference is that Windows seems to implicitly trust a lot of MS applications (so it doesn't ask you about them) and some other applications too. I am not sure of the rules that apply but it would not surprise me if someone writing nasty code could not con the firewall into trusting it though.
Having said that if you have decent AV software you stand little risk of catching something that will try to transmit out, so an extra firewall is really overkill.
APS