How to block outbound connections with the Windows Firewall

The Windows Firewall for Vista and Windows 7 allows you to block outbound connections, something that Windows XP didn't. To block outgoing connections:

1. Press the Start button.
2. Open Control Panel.
3. Click on Administrative Tools.
4. Click on Windows Firewall with Advanced Security.
5. Click on Windows Firewall Properties.
6. Select the Private Profile tab. (or the Public or Domain tab if you are on that type of network.)
   
7. Choose Block in the drop down for outbound connections.

Now Windows will block outgoing connection. I did however not see any notification when an outbound connection was blocked. There's an option to display a notification about blocked inbound connections, but I could not find anything about outbound connections. Anyone know how to enable these?

Does Windows Firewall block outgoing connections on Windows XP?

No, according to Wikipedia:

XP's Windows Firewall cannot block outbound connections; it is only capable of blocking inbound ones.