I tend to use Windows 7 Firewall Control which works quite well in controlling the built in firewall. For the most part, a firewall is a firewall, so as long as the ports are being blocked, any should be as effective as the other.
I too tried Commando once and also had difficulty getting it working correctly. To be honest, i really like ZoneAlarm for my XP machines. Maybe I missed something with Commando, but the popups with ZoneAlarm were very nice. WIndows 7 Firewall Control has similar popups so it's quite easy to confirm it to specific programs.