There are many, some better, some worse in particular ways. It all began with Outpost firewall during the Windows 98 days, then more alternatives emerged. Kerio

There are many, some better, some worse in particular ways. It all began with Outpost firewall during the Windows 98 days, then more alternatives emerged. Kerio Personal Firewall was what I liked the best for Windows XP. Windows 7-10 have surprisingly good firewall built-in, all you need is a good GUI to control it - Windows 10 Firewall Control by Sphinx Software.