TinyWall is a free software to harden and control the advanced firewall built into modern Windows systems.
Most firewalls are based on the same interaction principles. Basically, whenever an application is trying to access the internet, display a popup asking the user what to do. This is not only annoying for the user, but also less than secure. On an average computer, a lot of applications are trying to access the internet.
Displaying a popup for each app makes it very probable that unneeded applications will gain access to the network, as it increases the likelyhood of the user granting unnecessary rights to many applications. This phenomenon could be characterized as 'security fatigue', and at its extreme, the user does not verify any more what he gives internet access, but just blindly allows all programs that ask for it.