I totally agree LukeNukkem.
Being in the security field for some years now and having to tackle with ZoneAlarm or the Windows firewall I see the problems everyday.
I fear that the real use of these programs is to instill a false sense of security in their users and of course beside making some money for their makers.
People feel safe 'cos I have a firewall, so viruses can't come in' ...
The GUI problem is that it won't gives you the knowledge on how to operate a security technology and not an hint on its limits.
It makes you feels you are in control since U can clik on some buttons and see some lines with red or green marks in a window but I would ask you :
Do you REALLY know what it means ? What these lines represent at the network level and what happens for the packets flowing in or out your PC ?
Do you have the slightest idea on the technics used by the hackers to penetrate a Windows machine ?
Do you know the vulnerable programs and services ?
And if you don't know the uses and vulnerabilities of the various services running out there in your Windows then how could you pretend to take the right decision about what to block and what to allow.
Did you ever consider than blocking a program could in fact hinder the functionning of your PC and even lower its security ?
And on the opposite NOT blocking a service could let you open to some baddy who would break in ?
But then what to do and how to do it ?
If you can respond then may be a GUI firewall on Windows could be a good tool for you to help protect your Windows.
Else use some Shorewall or other helper under Linux, and let it do the job of building real network filtering.
And if it works without bothering you and needing constant tweaking on your side then why regret your GUI ?
Hope this helps put things in perspective.