Nothing is 100% safe. However, if you have a hardware firewall in your ADSL/Cable router (to stop external port scanning) and the Windows firewall (to stop downloaded programs connecting out to the Internet) you should be OK. Some ISPs (such as PlusNet) even have a configurable firewall to stop communication on ports known to be dangerous.
Meh, I'd agree it offers the same as any other firewall out there. But it doesn't offer advanced control like Comodo does. For general user/average joe the built in firewall is perfect. But for fussy people like me, it doesn't offer the kind of control I want.
PS, I'd remove the hotlink to that image before a mod stamps on you Use something like Imageshack.