The article for which catsrcool has given a link is over 3 years old - here's one
http://www.techsupportalert.com/best-free-firewall-protection.htm from less than a month ago which describes the default Windows firewall as:-
[i]The built-in Windows firewall is a common choice since it passes all inbound tests (both stealth and open port) and doesn't have many popup alerts. It doesn't require installation, so it's not likely to conflict with your other programs. And many average users may not reliably handle the popup alerts of the best firewalls on the market (especially at their max settings).
If you scan clean for malware and you don't want/need the additional features of a third-party firewall, then the Windows firewall is a practical and useful solution.[i]
That article compares various free third-party firewalls.