If a program is trying to download information you have not "allowed", Comodo Firewall will alert you, and let you decide if you want the transfer to continue.
Comodo Firewall not only presents well, but it is also quite easy to use. Using this firewall gives you complete control over what data is allowed to be transferred over your network. It also shows you in depth information about which programs are accessing the network, and how much data is being transferred through these programs.
From all the reviews I have read on it, Comodo Firewall is a solid competitor to many commercial products. My own experience has found the same results. Comodo is one very powerful and effective firewall.
You probably already have Windows Firewall running on your computer, but from what I have seen of it, Windows Firewall is a tiny program with an on/off switch, and not much else. The only thing it sometimes does well, is complicate networking. It's better than nothing, but you can have so much more control and security with Comodo Firewall
Download your copy for free from comodo.com.