A Windows firewall has to hook into the native TCP/IP API. A Linux firewall is just nice sugar on top of the built-in iptables. So there is no commonality. And a quick glance at wikipedia shows no software for both platforms.
To have only one firewall software to deal with, you could run e.g. Vyatta within a virtual machine alongside another VM for your OS.

In reply to Re: (OT) perlmonks favorite firewalls by Anonymous Monk
in thread (OT) perlmonks favorite firewalls by Anonymous Monk

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