I'll play devil's advocate here just for kicks.

Now I don't use either the Windows or ZA firewalls, as I moved over to Kerio, but, regarding the issue of discussion:

If you know how to secure your computer, do you really need your firewall blocking outbound connections? You should know enough already to guard yourself from infection, so there should be nothing malicious on your computer to worry about connecting to the outside without you telling it to do so. Following that train of though, the Windows firewall is fine not blcoking outbound connections; ideally it shouldn't have to.

I think that would be the MS argument anyway. Any thoughts to the contrary?