If you use Windows XP or before, you can use Sygate Personal Firewall by http://en.wikipedia.org/wiki/Sygate_Technologies:
- Free to try; $39.95 to buy
- Windows 95/NT/98/Me/2000/XP
- Very lightweight (~10 MB of RAM)
- You can see the processes with network activity and block specific .exe from accessing Internet.

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).