running to programs together

No. You should never run 2 firewalls, 2 antivirus, or 2 real time (non on demand scan) antimalware.

I believe windows automatically turns off their apps if they detect 3rd party in windows 8, but maybe that's not the case. I know defender turned off on mine when NOD32 was detected.

 

Just to add the reason: They can and usually conflict and cause issues with your machine.

 

I think whatever works for you is the best. I used to use comodo, but went with Windows firewall back when I had Windows 7. I use it in 8.1 as well.

I am extremely careful as far as browsing and downloading. Honestly, that is the single most important thing. Be careful where you go and watch what and where from you download software from.