The default behavior of the new Windows Firewall is to:
Block all incoming traffic unless it is solicited or it matches a configured rule.
Allow all outgoing traffic unless it matches a configured rule.
You can configure the new Windows Firewall with the Windows Firewall item in Control Panel, which displays the same set of configuration options as for the current Windows Firewall. You can configure basic settings for the new Windows Firewall, but you cannot configure enhanced features.
Because of the number of advanced configuration options and the value of having the same GUI for both local and Active Directory Group Policy-based configuration, the new Windows Firewall can also be configured with an MMC snap-in named Windows Firewall with Advanced Security, which is available in the Administrative Tools folder.
All of this from Microsoft itself. http://www.microsoft.com/technet/co...
It sounds to me like you have to have the snap-in to configure the firewall for advanced options like outbound filtering. It also sounds like outbound filtering is non existent until you do. But then again I don't have Vista to check this out.
I have a router and don't run a software firewall on my computer. I have never had a problem since I had the router, for about 4 years. Maybe I'm just lucky, cause I go to a lot of trashy websites. But then again I use Firefox.
"We have discovered that though Vista's outbound firewall is 'on' by default, all outbound connects that do not match a rule are allowed. In the default configuration, there are no outbound 'block' rules, only allow rules. In other words, even though [the Windows Firewall outbound protection is] on, it is not doing anything."
From this page