I used to use a Windows firewall which basically hijacked a bunch of WinAPI calls and let me approve/deny every request. Trying to be a good secure boy I ran this setup for a while but it was exhausting. Every single action needed dozens of approval windows. After a while I removed the software. I reckon it is good situationally though, trying out a new program for first time (that isn't risky enough for a VM or sandbox), might be good to turn on a tool like this.