Two software based firewalls will case conflicts. I did it by mistake when I installed comodo Firewall ( I am now using Comodo Internet security) back in "08. After I disable the windows firewall my Internet (& PC) speed was back to normal.

It depends on your Windows OS. If you have XP (SP3) then get a third party firewall. On Windows Vista and 7 You should be fine with the windows firewall.

I use Comodo as I can 'stealth' my ports. I am not sure that you can do it with the windows firewall.