Shakira, to answer your question, I really would NOT have all three running at the same time, it's unlikely to give you any extra protection and may actually give you less protection as one or more might cause conflicts with any of the other firewalls. Choose one you like and stick with it and make sure you keep it up to date as soon as any new exploits get found.

Personally I think Norton and McAfee firewalls suck... depending on your version number of Zonealarm Pro is ok (as far as I'm concerned I know others will have different opinions). Some people like Sygate Pro or Home (http://www.sygate.com/), others will recommned Agnitum outpost(http://www.agnitum.com/products/outpost/). I'm currently running Winroute Pro (http://www.kerio.com/us/wrp_home.html) which I quite like - it appears to do the job

Z