The Windows Vista Firewall is bidirectional, no need for third party software.
"Firewall Feature Description The personal firewall built into Windows Vista builds on the functionality that is included with Microsoft Windows XP Service Pack 2. It also includes application-aware outbound filtering, which gives you full, directional control over traffic. For example, Windows Firewall in Windows Vista will allow administrators to block applications (such as peer-to-peer sharing or instant messaging applications) from contacting or responding to other computers. In addition, the Windows Vista firewall settings are configurable by Group Policy objects to simplify manageability. "