Normally, to configure the Window Vista Firewall, you choose Control Panel -->Security --> Turn Windows Firewall on or off. You'll see the screen shown in the nearby figure.

There is no way to configure outbound filtering --- you can only turn inbound filtering on or off, and through the various tabs, configure how inbound filtering works.

To work with outbound filtering, you instead have to use the Microsoft Management Console, specifically the Windows Firewall with Advanced Security Group Policy applet, by typing wf.msc at the Search box or command prompt and pressing Enter. It's shown in the nearby figure.

If you look in the various profiles in the Overview area, you'll see that for each profile, "Outbound connections that do not match a rule are allowed."