Any malware that manages to get past your defences will have free reign to connect to the internet to either download more of the same, pass your personal data (sensitive or otherwise, user names, passwords, keylogger retrieved data, etc.) or open a backdoor to your computer, so outbound protection is essential.
So outbound monitoring is I feel essential.
Fortunately the Vista firewall has outbound protection, unfortunately it is a) disabled by default, b) rules based and you have to create the rules, c) not very friendly.
You could enable the outbound protection of the Vista firewall, but as I said it isn’t very friendly, is rule based and you have to create the rules. - Vista Firewall Control, check out this topic for some user friendly help for the Vista Firewall, Outbound protection, http://forum.avast.com/index.php?topic=30234.0
So going this way you shouldn’t need to install a third party firewall.