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Wich do you think would be better, windows firewall or another software firewall?

I am kinda curious about the views of you all since i dont hear alot about it here.

The Windows firewall isn't held in very high regard by many, mainly because it only filters incoming traffic, it does not filter outgoing traffic, so it would not detect trojan horse type programs which may send your personal data out to the internet.

I'd use a software firewall such as ZoneAlarm, which monitors incoming and outgoing traffic.

Well as i said in the threadtitle, i have this combo with a firewallrouter.

Weird thing happend to me, wich made me change my internet-connection/provider asap.
I had a weird connection problem, slow, couldnt do much, payed for it though..., called the helpdesk and they gave me a site to check.
Wich i did and it was a site wich check's if its possible to connect to my system,...erhm they had me labeld as stealth, meaning no one came in or out, apperantly due to my router, wich they didnt support ( read the routers outthere in general) since they were to many brands out there.

*rofl, talk about a bad carreermove....

Hence why i changed, but overall i can now say that i am not to dissapointed with the setup i have.