The windows firewall will block all attemts to connect to your computer from the outside - those are the ones that might break into your previously unbreached system. If you're behind a NAT router (usually the case when you use WiFi), even that is not necessary, since the router has the same effect.
The only additional benefit a third-party firewall can offer is to alert/protect you when your computer is already infected with something that tries to "phone home" - but chances are that a real virus will disable the firewall anyway; and nowadays there's so much stuff that connects to the net in some form (often looking for updates) that any malicious activity probably gets drowned in the noise.
2well, I would dispute that outbound "firewalling" is really necessary (or even fits the definition of the word) but it's a fair point – Jeff Atwood – 2009-08-18T11:06:53.383
Blocking outbound connections serves three purposes. One, it protects your information against anything that slipped through and is communicating out. Two, it save your bandwidth (although minor) against anything unwanted communicating out. Three, and most important, it can help protect other machines on your same network with the same vulnerability that got your machine infected. – MaQleod – 2011-04-08T19:14:33.267