I know this is an old post, but it may "help" other people as well: you could give Windows Firewall Notifier a try (freeware, by myself). It displays a notification balloon in the system tray, then allows you to choose what you want to do through a dedicated window (as ZoneAlarm or others would do).
It only relies on the Windows embedded firewall's existing features, and runs as a scheduled task to avoid taking up resources when not necessary (Windows Vista / 7 allows for the launch of tasks on specific events, firewall events included).
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