At the ancient times of Windows 98, I personally used Signal9 Conseal Private Desktop which was a very simple firewall software. You could block everything, allow everything or select each software when it try to reach internet.
McAfee bought Signal9, used its core engine and published a new product: McAfee Personal Firewall. But it was big and slow for that time. After a while, Windows XP came up with new Winsock background. Thus Conseal Private Desktop was not working any more on new systems. Many years have passed away, many firewall applications entered to the market. But they were either big or lacked of features.
Finally, Henry++ released Simplewall. It became available on 26 July, 2016. It is open source with GPL v3 license, using Windows Filtering Platform (WFP), compatible with Windows Vista and higher operating systems, supports many languages. It is super easy and working like a charm! Thank you Henry++