The Windows Firewall does ask on SOME apps. But as you see very few. Did it ask for any browsers? Plus this is hightened by OneCare. So if you are running that then that is why you were prompted because of the hightened firewall aspects of that application.
But just the basic SP2 firewall i have never been prompted by it at all. Not for Halo, Steam, Halo 2 or anything that i run with net access.
I haev blocked some apps. But i do it right from my router. I have a web applicaiton that i use to set up special permissions to allow certain ports to be open while i block others.
If you want to make sure you are secure here is what you do.
Home of Gibson Research Corporation
Go there and use their Shield's Up! test. Check each one. the Messenger Spam, Open Ports, Common Ports and all that. If your router is working correctly then you should pass all these with no problems.
I just tested my PC with no firewall on and jsut my router. Got by it with no problem. Not a single packet got thru. My PC is stealth to the net. While my IP may not at least i know my PC is.