Zone Labs released ZoneAlarm in 2000. Microsoft shipped Windows XP with the built-in Internet Connection Firewall (later rebranded to Windows Firewall) in 2001. ZoneAlarm was far more intuitive to use, but there was only one year when Windows did not have a built-in firewall while ZoneAlarm already out.
To be fair, Window XP's firewall cannot block Outgoing connection, only Incoming. Vista SP1 and later versions of Windows include a firewall with Outbound blocking.