I am setting up a Windows Server 2008 R2 lab environment in VMWare workstation and attempting where possible to use Windows Server 2008 R2 to implement machines that serve specific roles within that environment. Using the "Network Policy and Access Services" role I have been able to setup a machine that can server as a NAT router. The issue is that any and all connections are allowed outbound. Is there a way to restrict what outbound connections are allowed?
You can control outbound connections from the server itself using Windows Firewall with AS.
You can't control the outbound connections from NAT'ed clients with a third party system:
Bottom line is, if you need a firewall product capable of filtering traffic as it is being routed between different NICs on the server, you need to install Microsoft Forefront Threat Management Gateway 2010.