So does ZoneAlarm, which everyone loves. Users of XP Pro should be attached to a business network with technical support, which should know how to deal with this.
Home users should have some help from the firewall software, as ZoneAlarm provides.
Actually, what ZoneAlarm does is that anytime an application needs to access the Internet, ZoneAlarm will warn you about this and will prompt you for such access. Having using ZoneAlarm since Version 2.7, this is actually a safety feature so you can allow certain applications that need Internet access to get it.