Pre-XP versions of Windows don't have a built-in firewall. XP & Vista both incorporate their own firewall.
These instructions, to turn off Windows firewall, are for XP with SP2 but they're probably similar for other versions of XP and for Vista:
Go to the Control Panel.
Open Windows Firewall.
The 'General' tab should be pre-selected. If it's not, click on it.
Click to put a check-mark next to 'Off'.
Click 'OK'.
Unlike anti-virus software (where you should never have two competing programs running simultaneously), you could probably have two firewall programs running simultaneously, without any conflicts. However, it's probably still best to have just one firewall running.
Chris