As for 3rd party software I'd point to Core FORCE which is a Windows port of the PF firewall from OpenBSD unix, it provides an inbound and outbound stateful packet filter with advanced features (filtering per application, tcp flags, icmp type, ask user dialog, logging, etc). Plus it can be used to configure permissions for files and registry keys as well.
the interface and configuration is not for the inexpert user tho.
http://force.coresecurity.com