When you install a third party firewall it normally turns off Windows firewall, so you don't need to take any action yourself. However if you've definitely got both firewalls running you should turn off the Windows firewall, as software conflicts are possible.
Similarly you should never have two anti-virus programs running simultaneously. The result of doing so could be far worse than anything that most viruses could do to your PC.
Basically the rule is that any type of security software that 'runs in the background' should only ever have one application running at any time. However you can have as many security programs which 'run on demand' as you like. (For example, anti-malware programs such as Ad-Aware, Spybot Search & Destroy or Malwarebyte's AntiMalware).
Chris