I've took a look at Vista's firewall on a friend's computer, and
it can be configured to block outbound connections, although this
is not enabled by default.
It seems to have improved from the one in Windows XP, but still not
enough.
After all, third-party firewalls may seem too complex to configure
to a typical user.
I switched to Sunbelt Kerio Personal Firewall as Sygate is already
obsolete. It gave me lots of problems until I got fed up with it
and dumped all third-party firewalls and used the built-in firewall
in XP, only as a last resort.