Windows Software equivalent to Hands off! or Little Snitch

The windows firewall by default blocks all incomin connections but allows outgoing ones. Change these defaults. You can setup exceptions for programs that you'd like to communicate.

Hello McKnife
In fact, what I like in these 2 softs is that when an application tries to access the network, they will notify the user with a popup window and enable him/her to define what to do. It is a more interactive and dynamic way to check what goes out

Right, windows firewall notifies you, too, but only for incoming traffic. Why it is kind of useless for outgoing traffic: read http://www.howtogeek.com/172349/why-you-dont-need-an-outbound-firewall-on-your-laptop-or-desktop-pc/ ->section where it says piggyback.
If you still want it (not recommendable because not reliable), use one of the million products out there that call themselves software firewalls. Security experts call this "security theater" like Steve Riley here: https://technet.microsoft.com/en-us/magazine/2007.06.vistafirewall.aspx

I still want it for reasons I don't think worth explaining.
I have Norton 360 but I want the popup capability; I am not sure Norton can do this.
So any suggestion less general than "million products called software firewalls" will be welcome.

Do you have Nortion 360 installed already? Test if you see a popup simply by starting an application that generates outgoing traffic, like wget
Usage: open the zip, extract the following file to c:\test: Downloads\wget-1.11.4-1-bin.zip\bin\wget.exe
Syntax:

wget http://ftp.gnu.org/gnu/wget/wget-1.5.3.tar.gz

Select allOpen in new window

See if Norton offers to stop it.

I have unzipped.
Then when I run wget from the bin folder there are3 erros due to missing dll
- LIBEAY32.dll
- libssl32.dll
- libintl3.dll

"What you probably forgot to do with installing wget is install the dependencies !

Go to the GNU Wget binary download site for Windows and get the “Dependencies” ZIP file. Unpack the 4 DLLs from that /bin/ directory in the ZIP file into the same /bin/ directory where you have the wget.exe."

taken from http://www.openmutual.org/2011/08/gnu-wget-missing-libeay32-dll-on-new-install-on-windows/

You could look into something like zone alarm, basically replacing the windows firewall is what you are after.  A good AV solution will do it too.

Ok so I have installed the dependencies
When I run wget, the command window appears but disappears immediately and I can't enter the command line

You open cmd first and change to that directory. Then execute the command.

This worked. Saw several lines appearing in the CMD window followed by a progression bar. Process finished but  Norton 360 did not react at all

i think Little Snitch is the best application to protect your devices from outgoing unwanted connection, and defend from attack to yours outgoing emails, credit card, online shoppings,and many other private data.
To read more follow the link:-
http://procracksoftwares.com/little-snitch-3-crack/

i know this is an old discussion but just wanna add an update for 2021.

per my recent experience, the best Windows software equivalent to Little Snitch should be the below one:

netlimiter.com