Every time I try using software firewalls I always get discouraged after about a day. I've tried Outpost in the past, and just recently, I tried the Kaspersky one that comes with it's Internet Security suite. Here's what happens:
I install the firewall, it usually has some kind of "training" mode that asks you to allow/block all the connections. Here's my problem with this, I get these training notifications every 5 seconds for every little connection made from the computer. Each webpage has multiple things it wants me to allow. The problem is that I can't really even tell at all if something is a good connection or a bad connection, and even when I decide to block something that looks suspicious, it ends up being something necessary to view a webpage that I'm trying to get to. The bottom line is, I can't tell what to block or allow, so I just allow pretty much everything. I mean, what do I do with 'generic host process"? I don't know what that means, but I know I need it. Whatever. After I try all this, I usually put the firewall on some kind of minimal mode where everything is allowed except the stuff I explicitly block, but I never block anything because I don't know what to block, so the firewall is essentially useless. So after a few days of this, I usually just uninstall the firewall.
That's my firewall experience. I've never had any spamming problems, or wild spyware problems, and so far, I've never had any kind of problems with people hacking into my computer (that I know of). But everyone says a firewall is important, so I keep trying, but the end result is that I just get frustrated and quit.