That's what I thought, and now I can provide some information. I was trying an alternative firewall (Comodo which is reportedly better than Kerio and far better than ZoneAlarm free), when I suffered
this precisely because of it, in a site where I had never experienced it. Needless to say I've gone back to the Windows one immediately.
However Kerio's webpage for one claims that the Windows firewall doesn't protect you from data leak. Note that they don't claim to protect you better from intrusion --I'm afraid that would be lying--, only from data stealing. And that might be true because I had an application which was leaking data and the Windows firewall hadn't detected it while Comodo did. (Actually it was the license verifier of some software which I had already uninstalled. <_< ) But since, as an anonimous user, I'm far more concerned about my system's getting infected, corrupted or hijacked than about people getting my data, I'll stick with the Windows firewall. Plus Microsoft can learn their own security holes before anyone else, and now they're finally approaching the security issue seriously --I guess thanks to Mozilla's competition.
EDIT Duss, now I also know how to edit the registry and look for malware, but an antivirus and an antispyware are necessary to protect you from getting them in the first place, if not you'll have to be doing a lot of maintenance work. Plus in the many cases where a program is able to detect something it's faster than you removig it. Plus malevolent cookies for example are not in the registry (well I guess you only flush all cookies frequently, so do I).