The following Tutorial
explains what a firewall does:http://www.bleepingcomputer.com/tutorials/understanding-and-using-firewalls/
Basically the firewall examines inbound and outbound packets of information, and prevents unauthorised passage between your computer and the internet.
As far as I know, the Windows firewall only examines inbound packets, not outbound packets. This would not, therefore, prevent malware on your computer from "calling home." There are several good (and free) software firewalls that not only check both ways, but have additional features you can control to meet your specific needs.
Some free firewalls used by Members can be found here:http://www.bleepingcomputer.com/forums/topic3616.html
Hope this helps, but if you have further questions, please ask.