PeerGuardian 2 is a free and open source program capable of blocking incoming and outgoing connections based on IP blocklists. The system is also capable of blocking advertising, spyware, government and educational ranges, depending upon user preferences.
PeerGuardian 2 integrates support for multiple lists, list editing, automatic updates, and blocking all of IPv4 (TCP, UDP, ICMP, etc), making it the safest and easiest way to protect your privacy on P2P.

Comment
Just like they state themselves in the FAQ: “Well, it is accurate in the sense that it blocks everything on your blocklist. It is impossible to know _all_ the addresses to block so while it will increase your safety to a good extent, it can never be perfect.” This program might enhance your privacy, but you should not feel yourself perfectly save…

http://phoenixlabs.org/pg2