Other free firewalls only start protecting shortly before the desktop is loaded, but TinyWall's filters are active from the very beginning the OS starts booting up.
When wondering why some application behaves wrong, it's not easy to remember that the TinyWall might be the reason - because there was no rule yet for the specified application. For firewalls that show a notification, this could be connected more easily.
The already included Windows Firewall is not very easy to set up. Although new rules might be set up very fast, it's hard to understand what's going on for normal users.
Most experienced (amateur) users use just a frontend application beside Windows Firewall like TinyWall, Glasswire, Windows Firewall Control. If you don't want to bother and spend a lot of time tweaking: use solely the integrated Windows Firewall. Wilders Security Forums can be used to learn and know about the lastest trends.
The notifications just pop up once. If you press the wrong button it's hard to go back and change your choice. And not all programs that connect to internet will trigger a notification.
You can set the program to freeze/block any unknown connection, and pop up a dialog letting you choose what to do: allow/block once, allow/block for X time, or allow/block forever.
Rules can be based on any combination of these components: program path, process ID (replaces program path), TCP/UDP, inbound/outbound, remote address, remote port
This is more of a high-end network monitor with a simple blanket allow/deny firewall than a full featured firewall where you can create rules of varying complexity such as allow or deny to specific domains or ports.