it looks like a DPI layer with an IPS. If you only have windows firewall then sure why not. Otherwise if you have any other security package that comes with a firewall then you already have that built in (well in majority of the packages). Majority of Security Package firewalls are just ^^^^ that type of wrapper with a better gui that's running on top of a windows firewall. Gone are the days of individual firewalls like AtGuard, Outpost, Sygate etc. I think the only lefovers are Norton and ZoneAlarm, otherwise every other firewall is windows firewall at the core.
The new McAfee uses two firewalls. Windows Firewall for inbound connections and their own for outbound. They now block connection to malicious domains/IP addresses finally.