I've just had another read of your question: "Is it OK to keep both firewalls running?"
MSE does NOT include a firewall of its own. That's why it tries to turn on the Windows Firewall by default. If you're not using Zone alarm, Comodo or something similar, then the Windows Firewall should be turned ON.
(My previous answer was based upon the assumption that 'both', in your post, referred to the Windows Firewall and a third-party product; I now see that you might have been referring to the Windows Firewall and a [non-existent] MSE firewall. Sorry for any confusion!)