Zone Alarm and several other firewalls will do it.
The windows built in firewall will block all outgoing except for programs you specifically select if you set it up that way. So that'll stop all unknowns from calling out. But it's not as easy or verbose about telling you when a specific program that you have not white-listed is trying to call out. Zone alarm is a lot more chatty about what programs are doing on your machine...
My Computer
At a glance
Windows 7 x64 Ultimatei7 96012 Gig Corsair DominatorNvidia 480
Computer Manufacturer/Model Number
Scratch built
OS
Windows 7 x64 Ultimate
CPU
i7 960
Motherboard
Asus P6X58D
Memory
12 Gig Corsair Dominator
Graphics Card(s)
Nvidia 480
Sound Card
Maudio Delta 44 + breakout box
Monitor(s) Displays
Dell UltraSharp U2410 24in and Samsung 21 dual monitors