Sayin' that, I read somewhere that Windows Firewall gives your computer firewall protection early on from boot, or much sooner than other software firewalls.
Personally I use Sygate on my laptop and Windows Firewall on a much older machine. Basically when deciding on a software firewall, if you need a more configurable firewall and to block out-going progs etc, probs best looking for somethin' other than windows firewall. As on my laptop and I need to be able to configure, on the slower comp which is my grandfathers, simplicity is needed.