It is widely accepted that a 3rd party firewall has a major advantage over a Windows firewall in that it will warn the user of unsolicited outgoing traffic. The trouble with 3rd party firewalls is that they have a tendency to generate popups advising of some process that is not always clear to the average user. So should you allow or disallow the process?
I have absolutely no idea as I can’t see your popup, and even if I could see it, I would not necessarily know to what it related. Worst case is that saying no to it will stop a process that you wanted/needed. Best case is that you will notice no ill effect after, in which case the popup has done its job correctly. Sometimes, it feels like pulling straws.
If you prefer to run with Windows Firewall, or maybe no firewall at all from behind a NAT router, there is an alternative warning of possible unsolicited outgoing traffic. It is called NetMeter, available from the link below..
This neat utility will give you a visual on all network traffic, and also gives you a rundown of network usage in numbers. For people connected to services where uploads/downloads are capped, the data provided is very useful indeed.
There is a similar utility in the form of a Vista gadget, and while it does give a visual on what is happening, it does not provide any ongoing data with respect to how much has passed through your network/Internet connection.