Unlike the firewall in MS Windows Blista, the OS X firewall does not notify the user about outbound network connections. "Little Snitch" (shareware for OS X) can manage this for you. But if you happen to know which port you need to block, you can use "ipfw", a command that is built into OS X. You run this command from a Terminal.
Here's a discussion with an example of using ipfw :
http://forums.macosxhints.com/archive/index.php/t-50342.html