I'm sure its been posted somewhere, but I cant find it anywhere. I am running a Windows 7, and preferably would like to use Windows Firewall, but any other firewalls that will do the job will be good.
Type Firewall in the search box in the start menu and select "Windows Firewall with advanced security", in the middle section of the window click `Windows Firewall Properties. Go to your profile tab and switch from allow to block. Then go to outbound rules and allow any programs you need to access the internet.
If you needed only 1 program to be blocked, leave as allow and create an outbound rule to block that program.