Remeber to only use one firewall, as using 2 or more will make you less safe, because many start working against each other.
That also means our windows firewall should be turned of.

Some do work together, but you will have to do extensive checking up on that issue if you want to feel safe.

I only use the one in my Antivirus package, then I know it won't cause any problems. The program even told me to turn off all other firewalls when enabling it.