When I was still on a Win PC at home, I had a Firewall that blocked pretty much everything but FireFox, Skype, and MSN IM. Any program that had never contacted the internet had to ask, and I usually denied access. It was a third party Firewall, so even MS's stuff was blocked.
3rd party firewalls are basically obsolete at this point, with the built-in Windows firewall meeting or exceeding their capabilities from Vista onwards. http://en.wikipedia.org/wiki/Windows_Firewall
However, in my opinion, it's a better idea just to eliminate non-trusted 3rd party software from your machine entirely so you don't need to worry about what it's doing. Use fantastic free tools like Process Explorer and Autoruns to find and eliminate such programs. These tools are what the pros use.
Process Explorer in particular can also help you identify and resolve performance problems that interfere with your DAW. You can track down processes and services which are consuming system resources. (IE plugins like Flash are a major culprit, if you're silly enough to run a web browser at the same time you record.) There are lots of articles online (many by Mark Russinovich himself) that explain how to do this type of detective work. Very informative and highly recommended if you want to learn how to do this yourself.