Just yesterday I was discussing with my friend Wolfgang, how it's a shame that ZoneAlarm does not work with Windows Vista.
Today morning, I found out that the World's #1 firewall is now compatible with the Windows Vista operating system (Last update: June 4, 2007). Shows that I am have not been keeping up to date.
It is FREE for individual and not-for-profit charitable use (excluding governmental entities and educational institutions).
One of it's best features that besides protecting you from intruders' it will display a pop-up if a new program attempts to connect to the net and will only do so if you allow it.