NIS keylogger and firewall

I have some question. My friend had use the other brand antivirus product without firewall(only window firewall). His PC was infected by keylogger that was not detect by that antivirus. At last his e-mail was hacked. Now I install the firewall and anti virus in his pc. It work perfect. It do not allow any process that the firewall do not know to connect internet. But the process that the software know, it allow. Now, my laptop was installed with NIS. I had use it for a long period without any notification. By default it allow every software without any permission. In this case will it allow keylogger to send the information the hacker??? If some keylogger infect my pc and NIS cannot detect it from the part of antivirus. Can firewall can block the information was sent to hacker or not. Which technique we use. If Norton firewall can block, I will recommend him to use NIS but if cannot I will recommend him to use only NAV with the current free firewall that still doing a good job.