Use only one software firewall.
This is what a Microsoft MVP has to say about the subject. You may also want to consider reading her entire web-page on "How to prevent Malware". It is one of the best that I have seen.
http://users.telenet.be/bluepatchy/miekiemoes/prevention.html
"Never install more than one Antivirus and Firewall! Rather than giving you extra protection, it will decrease the reliability of it seriously! The reason for this is that if both products have their automatic (Real-Time) protection switched on, your system may lock up due to both software products attempting to access the same file at the same time. Also because more than one Antivirus and Firewall installed are not compatible with eachother, it can cause system performance problems and a serious system slowdown."
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A decent free firewall is PC Tools Firewall Plus. One can either choose "Normal User Mode" Or "Expert User Mode"'depending on the detail of alerts and application custom rules desired.
It is one of the few free firewalls that will work (and work well) on Vista as well as XP and 2000.
http://www.pctools.com/firewall/
Good luck.