Doesn't monitor outgoing connections for a start, I'm not the one to moan about firewalls in general a firewall is a firewall and there's not much between them but in XP's case it's very outdated.
Outbound filtering in regards to malware protection is pretty redundant. Firstly, for outbound filtering to play an active role, your system has to have already been compromised and in which case, you can't trust your system is doing what you want it to do. Secondly, if you're running as an administrator, as a lot of people still do, malware will simply circumvent any security policy you may already have in-place at will. And thirdly, instead of the malicious code opening up a new connection and alerting the user, it will simply hijack an existing connection of a process you have already granted access to.
There is also the fact that outbound filtering on Windows XP would have been useless, it simply wouldn't be able to offer it in a secure fashion. Windows Vista and Windows 7 offers a new capability of being able to highly restrict services due to
Service Hardening. The default behavior of the Windows Vista / 7 firewall as far as outbound filtering goes is to block any unnecessary traffic from services and this is just about all that can be done for a compromised system. This capability simply does not exist on the Windows XP platform.
Outbound filtering is only really useful for administratively controlling types of traffic you know you do not want to allow which already happens by default on Windows Vista and Windows 7 for services, as explained above. If you would like to further this for certain applications, you will have to manually do so.
An quote from Steve Riley to sum things up:
Steve Riley said:
Protection belongs on the asset you want to protect, not on the thing you're trying to protect against.
Exploring The Windows Firewall - Steve Riley