I'm using Windows 7 and would like to have a feature like Little Snitch on the Mac that alerts you whenever a program on your computer makes an outgoing connection.

Description of Little Snitch from its website:

Little Snitch informs you whenever a program attempts to establish an outgoing Internet connection. You can then choose to allow or deny this connection, or define a rule how to handle similar, future connection attempts. This reliably prevents private data from being sent out without your knowledge. Little Snitch runs inconspicuously in the background and it can also detect network related activity of viruses, trojans and other malware.

Little Snitch provides flexible configuration options, allowing you to grant specific permissions to your trusted applications or to prevent others from establishing particular Internet connections at all.

So you will only be warned in those cases that really need your attention.

Is there a program like Little Snitch for Windows?