It appears that the default Windows 7 firewall does not support a popup which asks you about outbound connections. The only reference I could find about asking on an outbound connection was people saying it can't be done.
If you want a firewall which does ask you every time there is a connection outbound there are a myriad of products which can do this, the most notable (as it's been around forever) is ZoneAlarm.
From a security perspective disabling all outbound traffic except for specific applications (IE, FF, antivirus, etc.) is a much better solution as once it's setup correctly you will rarely have to update it. If you install new programs frequently though this can be labor intensive and the gains not worth the time spent maintaining the list.