Can someone recommend a simple firewall that blocks everything by default, eventually with command line control?
For the background story, Sygate Personal Firewall got bought and killed by Symantec (Norton), so was never made available for Windows 7 (still works great on XP though). And PC Tools Firewall had the same fate (bought and killed AGAIN by Symantec), only a bit later so I could run it on Windows 7, until it eventually broke (seems like it works with Windows 7 RTM but not with Windows 7 SP1).
On Windows Vista and higher, you can use the built-in Firewall:
do the same for the private file and the public profile, then delete or disable all inbound and outbound rules.
Tutorial on Advanced Firewall Rules in the Windows Firewall, which is a free extension to the Windows firewall.
Each time a program will try to connect to Internet, Windows Firewall will ask you for permission:
To show notifications when blocking outgoing connections attempts, you can try Windows Firewall Control.