[tetraodonpuffer]

unfortunately nothing comparable to little snitch that I could find.

In windows I use the built in windows firewall with WFC[1] to configure it but as much as it gives you a notification when an app tries to connect to somewhere, due to how it works it unfortunately blocks the request first and gives you the notification later, so you always have to retry/restart the offending app unlike little snitch where the app remains waiting while you decide if you want to let it connect or not.

This said I would not use windows without it, these days most applications seem to want to phone home all the time for some reason.

1- http://www.binisoft.org/wfc.php