So that background applications like Adobe Update don't eat away my internet. One way is to install a firewall and configure it but is there any other way? Like with registry keys? Can Windows' default firewall help me in this?
You can of course go to the programs manually, typically under preferences and turn off auto update.
Some updates are saved in the scheduled tasks.
Also, from the command prompt run msconfig and under the start up tab you may be able to turn things off (although don't turn off any thing you want to start).
Or, maybe (depending on what programs are running) go to C:\WINDOWS\system32\drivers\etc on your PC and edit the hosts file in notepad (again, do so carefully in case you turn off the wrong thing).
I can't add a comment so have to give another answer, based upon Oliver G (from comments in original post).
In XP, go to control panel. Open Windows Firewall. Open the tab called Exceptions and Add Program. Add the program. The program now appears in the exceptions tab.
Does this help?