I do online shoping quite often with my Vista PC, I haven't (touch wood) had any problems. The Firewall seems secure enough to me - as long as you have the settings configured correctly
Windows Firewall doesn't protect you when shopping online specifically - it ensures that your computer is safe from many types of hacking attempts in general. Although, anyone using personal/card details online should double check they are protected.
Yes, the default Windows Firewall settings are fine... as long as you have a good antivirus to go along side it