Only one software firewall at a time, other firewalls should be turned off (uninstalled if it's third party).
Only one resident (always on) AV at a time, other resident AV's should be uninstalled.
So, for the typical user, the computer should have:
- only 1 software firewall
- only 1 resident (always running) AV
- whatever other antimalware programs you like to use
Remember that no matter which programs you choose to use, there's always the chance that conflicts will arise. That holds true no matter what kind of program you add, even non-security type apps. A little googling can help you there.