When it comes to computer security, more is less. Having two firewalls on at the same time can cause conflicts, slowdowns and crashes in a computer.
If your Operating System is Windows XP and you have an additional firewall (whether by itself or as part of a security suite), and both the built-in and the additional firewalls are on, my advice is turn the XP firewall off and let the other one perform its function. If your operating system is Vista or 7, is a tougher call since the built-in firewall has improved. Your call on what fits you better as a user.
Having two antivirus programs with real-time protection (a.k.a. resident shield, active protection, et cetera) operating in one computer will also create potential conflicts, slowdowns and crashes in a computer.
Too often I find violations of the above in new clients’ computers, so figure I write about it to clarify.