Why not to use Win XP built-in firewall

I've been reading that a lot of people are using Win XP built-in firewall instead of a commercial firewall.
This is my opinion why is not a good idea.
First of all most of us spent a lot of hours on the Internet which means putting ourselves in risk by receiving spam, junk mail or whatever you want to call it. well guest what, recently after installing a personal firewall (Tiny Firewall) I found out that one of my PCs was sending e-mails regularly to a specific address. In other words, i discovered a trojan which was recording keystrokes and sending that info to a specific address in Asia. If I would have been using the built-in firewall included with Windows XP, I wouldn't have been able to find that trojan because Windows XP just blocks incoming connection IT DOES NOT block outgoing connections which means that any program can connect to the Internet without your knowledge.
With a any good personal firewall you control exactly what and when a program connects to the Internet, surely you can protect yourself by blocking the high trojan ports that use UDP/TCP port 5000-65535. This away most of the trojans that want to connect to these ports will be blocked.
Moreover by using a personal firewall you control the file and print sharing of computers in a LAN that at the same time connect to the Internet.
Finally after installing and configuring my firewall to notify ( by a pop up window)when some one pings me or try to connect to my shared folders, there is not a single day that my firewall doesn't block "unwanted visitors" for example while writing this post a windows popped up in front of of me with the following information:

"TCP Blocked in supersearch.caravan.ru(217.23.130.160:21)>localhost 21"
I doubt that with Windows XP built-in firewall you instantly know that some punk hacker from rusia wants to connect to your File Transfer [Control] FTP port on port 21.