Trilarion: It's not that easy though. Many users are not very savy and only have the
Windows firewall which can only blacklist, not whitelist.
I agree it's annoying but which version of Windows are you using? From what I remember "Inbound only block" was true of XP, but from Windows 7 on, the Windows Firewall can whitelist:-
Settings -> Control Panel -> Windows Firewall -> Advanced Settings -> Windows Firewall Properties. Then in all three tabs (Domain, Private and Public), just set "Outbound connections" to "Block". Now it'll block everything going out by default.
Then to Whitelist web browser / mail client / other stuff, etc, go into Outbound Rules -> New Rule, and just select the .exe of the you want to allow, etc, and "Allow". As WinterSnowfall said, you have further control like being able to set IP address ranges (limiting to local LAN) or certain port numbers.
Another alternative (aside from the obvious physically pulling the Ethernet cable out) is to create a couple of shortcut links to batch files that enabled / disables your Network Adaptor on/off (as if you were right-clicking on Enable/Disable on the adaptor in Device Manager):-
netsh interface set interface "Local Area Connection" DISABLED
netsh interface set interface "Local Area Connection" ENABLED
netsh interface set interface "Wireless Network Connection" DISABLED
netsh interface set interface "Wireless Network Connection" ENABLED
^ Copy each line into it's own batch file (in notepad save as say "Disable Ethernet.bat", "Enable Ethernet.bat", "Disable WiFi.bat", "Enable WiFi.bat", etc), then drop a "one click" shortcut link to them right on your taskbar, and maybe given them the network Enabled / Disabled icons found in Windows\System32\shell32.dll
^ Just throwing ideas out there to make it easier to shut off the net before and after a game if you're having Firewall issues.