Like Juridian said, one good firewall is enough. Two can be run together, if you really REALLY know how to get them configured. I have xp and that firewall had to be disabled before the one I installed would work right.

If you have xp, which you didn't say, you've already got a firewall that works pretty well for inbound traffic. It does nothing for outbound. Go with Tiny, Kerio, or Outpost. Sygate is a very good one, too.