A really nice tool for managing your local Windows firewall, is Windows Firewall Control: http://www.binisoft.org/wfc.php
Try it, for those that want to simplify things, turn on notifications and medium filtering. Launch each thing you have that communicates to the Internet, either click on the create a blocking rule when it pops up notifying you it is trying to communicate, or click on the allow rule. You can then block specifically what you want or don't want communicating to the Internet.