Take a look at the first sticky at the top of the forum page - it will explain and give leak tests performed. From this site- http://www.firewallleaktester.com/
A FW is just one link in the chain, and yes there are differences between them. Some are over complicated though, and put a lot of people off including me, for various reasons, like not having enough time to RTFM and configure them etc. ZA Free is an excellent FW which i also use. Mine passes 99% of all leaktests, including too leaky. All you have to do is set it to prompt you for every App internet access permission. Combine this with an EXE execution protection App such as the Free Winsonar, and you have a very fine fortress inside your PC. against outbound and inbound threats. Also permanently block all Apps from having server access, unless absolutely required, and all Apps that should never need internet access like Explorer etc. StevieO