Get your software firewall to boot earlier.

Most firewalls should have a service and system drivers. In your registry go to HKEY_LOCAL_MACHINE/SYSTEM/CurrentControlSet/Services

Look for the entries corresponding to the firewall that you use. Under the 'Start' value, set the number to 0. This will make your software firewall boot earlier. 0 means that your firewall will boot up before all other components boot.
WARNING: Editing your registry wrongly may cause system failure.

Another safer method that can be used to do this is: Go to control panel---> system---> hardware---> device manager

In device manager click on view then click on show hidden devices. Now you'll see Non-Plug and Play drivers in the list below. Expand non plug and play drivers list and look for the entry that corresponds to your firewall. Then, right-click on the entry and click properties. In the dialog box that appears, go to the 'driver' tab and you will see 'startup' at the bottom. Change the value to boot and click OK.
Reboot your system and see if it works. Your firewall now starts earlier in the Boot process.

 

hmm...

A. Why do I feel *weird* about messing with this?
B. Wrong subforum, someone will move it to 'Other Firewalls' soon enough

 

Most of today's firewalls the likes of ZA and Outpost block connection as well as load into memory before a net connection can be established.

 

That's good to know and that's the way it should work too.

 

Quite right. The true vector engine is practically the first thing to load up in Windows(even at the boot screen) since it loads up as a service.