Don't run two firewalls. You achieve no extra protection, you incur
the extra overhead of running two firewalls, and you run the risk
(probably small, but not zero) of conflicts between them.
See
http://www.microsoft.com/athome/security/protect/firewall.mspx
which includes the following:
"Q. Should I use both the built-in firewall and a software firewall
from a different company on my Windows XP computer?
"A. No. Running multiple software firewalls is unnecessary for
typical home computers, home networking, and small-business
networking scenarios. Using two firewalls on the same connection
could cause issues with connectivity to the Internet or other
unexpected behavior. One firewall, whether it is the Windows XP
Internet Connection Firewall or a different software firewall, can
provide substantial protection for your computer."
Also note that if you update your third-party firewall to a new
version, the update routine will probably turn it off first. If the
Windows firewall isn't running, you will temporarily be left with no
running firewall, which is very dangerous. So turn on the Windows
firewall temporarily before doing maintenance on your third-party
firewall.
The Windows firewall monitors incoming traffic only. Almost any
third-party firewall will also monitor outbound traffic, stopping
rogue programs trying to call home, and is a better choice.
