Answer: When it`s Vista`s built-in firewall

To quote from the article
“So, the bottom line is that once again (actually, nothing has changed), the Windows Firewall is actually worse than having no firewall at all since (a) its presence leads you to believe that your computer is protected by a firewall when it really isn't (a false sense of security), (b) the system offers nothing in the way of a suggestion that encourages users to establish outbound rules, and (c) is nearly impossible for mortals — the majority of Windows users — to configure.”

http://blogs.zdnet.com/Berlind/?p=331

Elaine