If I'm a program, and I"m connecting to another computer, I do need a port of my own. I create a socket, and the kernel now has to pick one. Usually the OS will allocate a port from a range called the Ephemeral Port Range. Now the client has the port, and can connect somewhere. To me, this looks like what the config is recommending you do - tell the firewall to allow the Ephemeral Port Range to go out to the Internet.
If you already have clients going out (Internet Explorer, Firefox, P2P clients, etc) then you already probably have this range open. There is nothing special SQL Server is asking for. Unlike the inbound port, this isn't a special 'SQL Server range' and if your other Internet apps can go out, it's already open. You'll probably find your firewall has a config letting these go out, or everything can go out. It may not be 1024-65535, since the recommendation here doesn't seem to match Windows' actual range.
I'd wonder much more why your SQL Server needs to connect outbound to the Internet. This seems odd to me unless you have a specific reason. You want as few things connecting to random places on the Internet as possible, at least not without you knowing why.