Can someone recommend a simple firewall that blocks everything by default, eventually with command line control?
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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.