What I always did:
- when running Comodo firewall, I always as a rule disabled Windows Firewall for obvious reasons (earlier versions of CFP did that automatically during the setup btw)
- noticing at the same time that leaving Windows firewall on wasn’t really problematic. There has been changes since XP but globally Vista and Seven versions, when left with the default settings, are rather light and very unlikely to conflict with another firewall.
Anyway, I recently switched to Avast 5 new firewall. The purpose of this thread is not to discuss this new FW functionality but something that’s been stated, may be by Vlk, not sure, ie Windows Firewall should be left turned on because it performs non-firewall tasks that are important for security, ie IPSec…
Now as I was, just a few minutes ago, browsing Wilders Security forums, I found that interesting link in a thread there:
http://technet.microsoft.com/en-us/library/cc755158(WS.10).aspx
…meaning basically that disabling the (ms) firewall itself in Windows Seven doesn’t disable the extra security features associated with it:
Coexistence with third-party firewalls
Windows Firewall with Advanced Security consists of a set of services that provide much more than the traditional firewall. IPsec connection security rules, network service hardening, boot time filters, firewall filters, and stealth filters are all services provided by Windows Firewall with Advanced Security in Windows 7 and Windows Server 2008 R2. [b]Because multiple firewall programs can be problematic due to conflicts, if you install a third-party firewall program, you need to turn off the Windows Firewall[/b]. [b]In previous versions of Windows, turning off the firewall meant also disabling all of the related services[/b]. If the third-party program does not provide all of the same functionality, then you might be unintentionally exposing your computer to threats for which you no longer have protection. In Windows Server 2008 R2 and Windows 7, Windows Firewall with Advanced Security enables more specific disabling of its features through published application program interface (API) calls. When a third-party firewall program is installed, the installer can disable only those portions of Windows Firewall with Advanced Security that conflict with the services that are provided by the third-party program. Other Windows Firewall with Advanced Security services are left enabled, and continue to help protect your computer.
I don’t think I should add anything 
edit: this is valid for Windows 7 and Windows Server 2008 R2 (due to firewall versions and behavior)
