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It's also good to have outbound protection - as 3D Jed said, by default the Windows Firewall doesn't filter outbound connections. You can enable outbound protection but it's not flexible at all - it's either allow everything or block everything (you can add exceptions but you have to do this for basically every program)
I'd recommend the Windows Firewall Notifier, it basically just adds on to the Windows Firewall and automatically adds the rules for you.
How to Extend the Windows Firewall and Easily Block Outgoing Connections - How-To Geek