Windows 8 Firewall - How Good Is It?

I've only been using Windows 8/64 for about a month now and I love it. But
I moved to this directly from Windows XP Home, on which I ran Sunbelt
Personal Firewall because I liked the way it asked for my confirmation on
every attempt a program made to communicate with the outside world, and it
warned me of incoming traffic, too. I had used Kerio Personal Firewall
and Tiny Personal Firewall. I think Kerio got it from Tiny and Sunbelt
got it from Kerio. Now it's no longer being developed.

Anyway, I've seen a few pop-ups from the default Windows 8 firewall, like
when I used mIRC for the first time. But installing internet-capable
programs and getting no confirmation popups makes me nervous. It makes me
feel like I don't really have a firewall. That said, sometimes the popups
in the old third-party firewalls I've used could be a little confusing
when I hadn't initiated any action, and some legitimate background program
started trying to communicate on the internet. One time I refused
communication and immediately got a blue screen in WinXP.

So really, how protective is the default Windows 8 firewall? Right now,
my system is running smooth with no problems. I've read complaints from
some people who installed a third-party firewall and they immediately
started having problems.

I basically don't want important files floating through a porous firewall,
like my MS Money files, or my dream journals, or anything else, for that
matter.

Is anybody here concerned about the effectiveness of the Windows 8
firewall? Did you install a third-party one?

Thanks,
Damaeus