Windows Firewall Unsafe?

I noticed that the Windows Firewall just allows Internet access to new programs without asking me. Even if I check block all Internet access every program still goes online. I was just wondering because I installed Games for Windows Live and it could just go online without the firewall asked me if I allow it. Is there any setting which "forces" the Firewall to ask me about every single program? Of course only one time so it should still save the settings. That's what I liked more about Zone Alarm and I need this feature it's important

I haven't figured it out myself, but EVERY time a new program wants access to the net on my machine, the Windows firewall asks me.

I've not set anything special on the firewall itself but I do have MSE installed which may have set something specific itself and I have NOT turned oiff UAC.

THose are the only two things I can thing of that may have any effect on the behavior. But most people seem to NOT have windows firewall ask them about net access, I don.t know why mine does. It'll even re-ask about acess if a program is re-installed with the same name and location (as in upgrading the app).

Wow nice, after 20 minutes already 3 replies nice. I didn't know that there's an extra program to control the firewall. Is this really necessary? Because I can also control the firewall over the control panel. And I checked ask when a new program wants access to the internet but it still doesn't ask. And there are really programs I have which I don't want to access the internet but I'm scared that it just allows the access like it does with Games for Windows Live.

And I can't use an alternate program because they cause Bluescreens.