I have tested some firewalls on windows and i like Sygate personal firewall pro (http://smb.sygate.com/products/spf_pro.htm)
To protect your mssql from connect of outside we need to disable outgoing and incoming traffic of mssql.
On Sygate screen find mssql process and with left mouse button select option "Block".
Now we need to set advanced rule for mssql.
Go to Tools > Advanced Rules... > Add
Select "Block this traffic", select "Record this traffic in Packet Log" too, this option let us see mssql trafic on Packet Log section, that way we will see mssql attackers.
On Applications find mssql and select it. This rule will be only for mssql process.
If you dont use mssql servers links then you should to disable it. Go to mssql settings using Enterprise Manager and unselect Sql remotely connect using RPC.
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